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TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

Programming Language

Stata

Abstract

tgmixed estimates a regression equation subject to stochastic linear constraints, using the Theil-Goldberger (1961) mixed estimation technique. This estimator is a generalization of cnsreg, which applies exact linear constraints to a regression equation. In the Theil-Goldberger technique, the constraints hold with some degree of subjective belief. The routine computes the Theil compatibility statistic (Theil, 1963) for the null hypothesis that the sample and non-sample information are compatible. Under the null, this statistic is distributed Chi-squared, with degrees of freedom equal to the number of stochastic constraints.

Suggested Citation

  • Christopher F Baum, 2011. "TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation," Statistical Software Components S457307, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457307
    Note: This module should be installed from within Stata by typing "ssc install tgmixed". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/t/tgmixed.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tgmixed.sthlp
    File Function: help file
    Download Restriction: no
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