[Limdep Nlogit List] Restricted estimation

Yen, Steven T syen at utk.edu
Mon Sep 21 12:41:38 EST 2009

Thanks to all. I was actually not concerned about testing the sample selection model against the two-part model, viz., rho = 0. I was interested in real constrained estimation (with rho = 0 or other parametric restrictions), and wonder why the ;rst=... option was IGNORED by limdep. Professor Greene: is constrained estimation (via ;rst=...) an allowable option for the sample selection model? Thanks.
Steven Yen

From: limdep-bounces at limdep.itls.usyd.edu.au on behalf of William Greene
Sent: Sun 9/20/2009 10:26 PM
To: Limdep and Nlogit Mailing List
Subject: Re: [Limdep Nlogit List] Restricted estimation

For *TESTING* the hypothesis that RHO = 0, either of the two solutions
suggested earlier works. A third - seems too easy - is to use the t ratio
that is reported with the estimate of RHO in the MLE results. To carry
out an LR test, fit the probit model and the regression separately and
add the log likelihoods. Subtract the sum from the logL from the unrestricted
model, then multiply the difference by 2. This is a chi-squared with 1 degree
of freedom. The 95% critical value is 3.84.
Bill Greene

----- Original Message -----
From: "Steven T Yen" <syen at utk.edu>
To: limdep at limdep.itls.usyd.edu.au
Sent: Sunday, September 20, 2009 12:27:44 PM GMT -05:00 Columbia
Subject: [Limdep Nlogit List] Restricted estimation

Dear Limdepers
I am testing restricted estimation with the sample selection model by imposing rho=0 (I have 15 regressors in the selection equation and level equation). The restriction ";rst=..." seems to get ignored. Any clues? Thanks.

probit ;lhs=d ;rhs=z ;hold $
select ;lhs=y ;rhs=x ;mle ;par
            b1,b2,b3,b4,b5,b6,b7,b8,b9,b10,b11,b12,b13,b14,b15,ss,0 $

Steven T. Yen
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