Questions tagged [restrictions]

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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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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 ...
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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 ...
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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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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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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{...
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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: ...
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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?
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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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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,...
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1answer
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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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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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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 ...
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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 $n\times (k-l)$-...
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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 ...
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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 ...
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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(\...
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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). ...
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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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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 ...
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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 ...
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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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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&...
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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 ...