Questions tagged [restrictions]

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Inequality constraints (interval restrictions) with clogit (STATA)

I am trying to estimate a conditional logit model using clogit. I have to impose different restrictions, for example: utility function: U(ik) = b1 x1(ik) + b2 x2(ik) + b3 x3(ik) + e(ik) constraints: ...
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graphical lasso with known precision matrix structure

I wonder if there is a way to estimate the precision matrix when certain elements are restricted to be zero? Suppose data are from $N(\mu,\Omega)$, where $\Omega=V^{-1}$, i.e. the precision matrix. ...
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Do I lose a degree of freedom if there is a restriction on the explanatory variables?

In a linear model the degrees of freedom are (if there is an intercept) $df = n - k - 1$. So in the following interaction model the degrees of freedom would be $n - 7 - 1$ $$y = \beta_0 + \beta_1 x_1 +...
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VAR restrictions on Exogenous Variables

Technically it should be possible to restrict the coefficient matrix of the exogenous variables by setting the desired restriction = 0, am I right there? If so, does anyone know how to implement that ...
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I am facing a problem when constructing a SVECM mode with rl!

when using SVEC to construct the model, I just constantly facing the problems: Error in solve.default(infgamma) : system is computationally singular: reciprocal condition number = 5.60627e-21 this ...
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How would you run a SUR with nonlinear constraints?

Chiappari et al (2012) estimate two Seemingly Unrelated Regressions like this: $$ y_1 = a_1 + b_{11}x_1 + b_{12}x_2 $$ $$ y_2 = a_2 + b_{21}x_1 + b_{22}x_2 $$ Next, they want to test the hypothesis ...
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2 answers
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Setting Multiple linear restrictions equal to some coefficient in R?

I have a model of the form: $y_i = \beta_0 + \beta_1 x_1 +\beta_2 x_2 +\epsilon_i$ . I want to test the null hypothesis that $\beta_1 + \beta_2 =2$, by creating a restricted model imposing these ...
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Confusion regarding Least Square/Maximum Likelihood estimators under a restricted intercept?

I'm a bit confused regarding how intercept restrictions impact slope estimators in a simple linear regression. An example: $$H_0:\beta_0=0$$ $$H_A:\beta_0\neq 0$$ I simulated a variable $y_i$ as: $$...
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What is the most fitting distribution for "how much time each day" kind of variable?

I frequently encounter variables with values restricted in a known interval but otherwise looking like being normally distributed. A typical one is, say, time spent browsing internet each day. I am ...
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Regression with unrestricted betas

Say for, instance, if I were to regress a unrestricted model such as: $$Y_it=\beta_0+V_{it}(\gamma_0+\gamma_1X_{it})+D\chi_{it}+\epsilon_{it}$$ In which I would be mainly interested in obtaining the ...
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Packages interfering with other packages on R? [closed]

I am working on a long R studio script for an experiment (more than 3000 lines) with different kinds of analyses that are not too complicated but combined there a lot of different kinds of analyses ...
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2 answers
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Maximum likelihood estimator when $\sum_{j} \theta_j = 1$. How to impose this condition? [duplicate]

I have a sample $x_1,\dots,x_n \stackrel{iid}{\sim}f(;\boldsymbol{\theta})$, where $\boldsymbol{\theta} = (\theta_1,\dots,\theta_d)$, and , $0<\theta_j<1$, $\sum_{j=1}^d\theta_j = 1$. I can ...
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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. ...
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1 answer
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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 ...
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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 ...
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1 answer
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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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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 ...
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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 ...
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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 ...
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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{...
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2 votes
1 answer
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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: ...
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2 votes
1 answer
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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?
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4 votes
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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 ...
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5 votes
1 answer
112 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,...
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2 votes
1 answer
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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 ...
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0 answers
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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 ...
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3 votes
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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 ...
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2 votes
1 answer
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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 $n\times (k-l)$-...
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3 votes
0 answers
434 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 ...
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1 vote
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953 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 ...
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4 votes
1 answer
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multiple correlation modification

From wikipedia: https://en.wikipedia.org/wiki/Multiple_correlation In statistics, the coefficient of multiple correlation is a measure of how well a given variable can be predicted using a ...
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2 votes
1 answer
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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(\...
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3 votes
0 answers
834 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). ...
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1 vote
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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 ...
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4 votes
1 answer
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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 ...
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4 votes
1 answer
363 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 distributed ...
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2 votes
0 answers
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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_{...
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1 vote
1 answer
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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&...
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4 votes
0 answers
52 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 ...
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17 votes
1 answer
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Fitting models in R where coefficients are subject to linear restriction(s)?

How should I define a model formula in R, when one (or more) exact linear restrictions binding the coefficients is available. As an example, say that you know that b1 = 2*b0 in a simple linear ...
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