On Thu, 17 Jun 2010, Sven Schreiber wrote: > Hi, > > I'm trying to get the estimates from a restricted logit model. > > Here's roughly what I mean to do (except it's not working the way I want): > > <script> > open greene12_1 > logit selfemp age income const > matrix unrestricted = $coeff > > restrict > b[age]=1 > end restrict > matrix restricted = $coeff > > unrestricted > restricted > </script> > > I also tried the "--full" option for the restrict block, but that just > gives me errors. > > Is there a way in gretl to get restricted logit estimates? (without > manually coding it, I mean)
There isn't. With a bit of work, the --full option could be extended to logit/probit models. However, why should we? Let me explain: in the case of logit/probit models, the situation is very different if your constraint is homogeneous or not. (Just to establish notation: you would like to estimate a vector \beta under the constraint R\beta = d. If d zero?) If it is, estimating the restricted model is trivial, because it just implies re-defining the regressors, so that poses no problem and the --full option is not really needed. (Example: x1*b1 + x2*b2, under the constraint b1=b2 becomes (x1+x2)*b1; easy) If d is NOT zero (like in your example), then it isn't clear to me why you would want to test such a constraint, since the \beta vector in logit/probit models is identified up to a scale factor, which is why everyone uses the arbitrary convention of setting \sigma^2 to 1. In other terms, in this context it makes sense to compare the relative magnitude of coefficients, but (if I'm not mistaken) a hypothesis on their absolute value does not. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
