Questions tagged [restrictions]
The restrictions tag has no usage guidance.
26
questions
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0answers
20 views
Omission of variable in regression model
I am currently solving a question about the omission of variables in a regression model.
The question says that $R^2$ decreases after two variables are omitted in the model; I understand this part. ...
1
vote
1answer
99 views
Significance of correlation with range restriction in x
Background
Range restriction can happen in various study designs and it affects the results of bivariate correlation or in multiple regression, for example. In some cases the range restriction may be ...
0
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2answers
94 views
How to find all models that meet the pre-specified restrictions
Let's say I have a large number of predictors (e.g. 2000) and I'm facing the problem of choosing the linear regression model under following assumptions:
There are few predictors that have to be ...
1
vote
1answer
44 views
Hypothesis test testing for monotonic group mean change
I wonder if there is a statistical hypothesis test testing whether group average monotonically increases across groups?
For example, I have four treatment groups, A, B, C and D. I would like to test ...
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0answers
26 views
How to optimize two related objective functions?
Suppose we have two functions which are somewhat related in that if one increases, the other decreases in a non-linear fashion. The decision variables for one function may or may not be present for ...
0
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0answers
47 views
Restriction in bayesian likelihood expression
I'm doing MCMC simulation but I'm confused in some part of my model. I dont know which of my likelihood expression is right.
My model is as following.
$\gamma$ = $(\gamma_{1},\cdots,\gamma_{K})$ and ...
1
vote
0answers
20 views
How to test hypothesis with multiple 'or' restictions
I am seeking help to interpret a question and set up test procedures for a series of hypotheses (six in total, two of which I can answer). It is part of a weekly problem set we are given in class. The ...
1
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0answers
43 views
Coefficient restriction and cointegration
We have these data. $RL$ and $RS$ are six-month and three-month rates, and $S$ the spread ($RL-RS$).
Given that $RL$ and $RS$ are cointegrated, what is the best way to test $\beta_1=2$ in $\Delta{...
2
votes
1answer
209 views
Restriction test (H0: alpha1+beta1 = 1, H1:alpha1 + beta1 ≠ 1) on GARCH model in R not working
I am trying to do the restriction test for GARCH model (ugarch from 'rugarch' package) using the following hypothesis:
...
1
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1answer
1k views
Determining the Number of Restrictions in an F-test
I understand that with $H_0$:
$b_1 = 0, b_2 = 0, b_3 = 0$
The number of restrictions (q) is 3.
However, with $H_1$:
$b_1 + b_2 + b_3 = 0$
Is the number of restrictions now 1?
4
votes
0answers
36 views
Algorithm that preserves the order of the predicted variable
Hi all,
I need some advice on possible algorithms that I can apply to the following problem (if possible with pointers to implementations of these algorithms).
The dataset:
I have some dataset ...
5
votes
1answer
83 views
Statistical non-parametric test of order independence
I've ran an experiment in which different situations were presented to subjects in a random order, on which I measured a result out of $y \in {-1,0,1}$.
I'd like to show that $y$ is order-independent,...
2
votes
1answer
32 views
Splines with differential conditions?
I have a set of points $(x_i,y_i)\in{\mathbb R}_+\times{\mathbb R}$, $i=1,...,n$, ($x_i$ are the independent variables and $y_i$ are the dependent variables or responses) that I want to fit using ...
2
votes
0answers
27 views
Machine Learning Classification with Variables Summing to One
Suppose you have data with a bunch of predictors, and some of these predictors are proportions that add up to one. An example would be data like the following
...
3
votes
0answers
146 views
SUR with unbalanced panel and cross equation restrictions - available software?
I would like to estimate a SUR model with an unbalanced panel and with cross equation restrictions. This does not seem possible with the standard SUR commands in Stata or R. Do you have an idea which ...
2
votes
1answer
144 views
Restricted OLS problem
Here is my problem:
Let $1\leq l<k$ be integers and write the design matrix $X$ as $X=[X_1\; X_2]$, where $X_1$ is an $n\times l$-dimensional matrix, and where $X_2$ is an $n\times (k-l)$-...
3
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0answers
353 views
How, in practice, do you perform a Wald test on a a null hypothesis of the form Coefficient A / Coefficient B = 1 (for example)
I understand how Wald testing is derived i.e.
(Sorry, not sure how to add formulae to these questions)
$$\dfrac{(RB-q)'(R(X'X)^{-1}R')(RB-q)}{s^{2}}$$
This will be distributed as F(M, N-K), where M ...
1
vote
0answers
763 views
SVAR: Long-run or short restrictions
TL;DR
What is the difference between regular and long run SVAR model?
In details:
I am estimating a SVAR model, with tourist arrivals, accomodation capacities and consumer confidence.
I am chose ...
2
votes
1answer
903 views
Variance of restricted least squares estimator
I'm working through the derivation of the restricted least squares estimator, and the final step of the difference in variance between the unrestricted and restricted estimators gives me:
$$Var(\...
1
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0answers
487 views
How to impose exclusion restriction on cointegrating vector? R reproducible example
The code given below estimates a VEC model with 2 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor).
...
1
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0answers
83 views
Is it possible to combine linear VAR restrictions with SVAR A/B restrictions?
I have been exploring the various restrictions that are commonly applied to (S)VAR models in textbooks on multivariate time series, noting that linear restrictions on VAR models seem to be treated ...
4
votes
1answer
862 views
What is the result of violated exclusion restrictions?
I have a question regarding exclusion restrictions in instrumental variable design. If I have an instrumental variable, which is also somewhat related to the outcome, would that (and how) cause ...
4
votes
1answer
166 views
Regression with restrictions like b1/b2 = q
My first question on this excellent forum that has already helped me many times.
Here is my problem.
I want to estimate the effect of a large number (c. 900) of independent events that are ...
0
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0answers
77 views
What is the role of an intercept in testing the linear hypothesis b1 = -b2?
EDIT2: Possibly the short version of the question is just
how would I test cat2 = cat3 in the STATA example in the link below
I would like to test the hypothesis that $\beta_{typeprof} = -\beta_{...
1
vote
1answer
42 views
Testing for a non-zero, monotonic trend amongst 3 groups in a repeated-measures design
For each subject, we repeatedly measure 3 conditions for a scalar dependent variable. The research hypothesis is that there is a monotonic positive trend - that is, either 1<2<3 or 1=2<3 or 1&...
4
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0answers
45 views
Calculating a Constrained Mean
Assume that I have ten measurements of a physical quantity that must be non-negative (e.g., mass). Because of measurement error, some of the results are nevertheless negative. Can someone suggest a ...
