[Limdep Nlogit List] F-test question
bills at gra-inc.com
Tue Apr 21 03:59:05 AEST 2020
I am doing an F-test for equality of coefficients in a simple linear model.
Base model is y = a + b X
I am testing whether the observations should be split into Groups 1 and 2:
y = a1 + b1 X + a2 + b2 X
But when I run the restricted model (using CLS: b(1)=b(3), b(2)=b(4)), I
don't get the same restricted coefficient values as I do when running
the Base model.
They're pretty close, but not the same -- and it seems to be off by more
than just rounding error.
Is this a "feature" of imposing restrictions via CLS?
Thanks in advance.
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