Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [restrictions]

39 questions
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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 regression model.
George Dontas
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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 + \beta_2 x_2 + \beta_3 x_3 + \beta_4 x_1:z +…
Lmquestion
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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, meaning that the answer ratio was the same…
Dimgold
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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 way to calculate the mean of the 10 measurements so…
Thomas
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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 about boreholes drilled in the earth. For each of the…
jan_nessner
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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 linear function of a set of other variables. Is there…
user40780
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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 problems? Does it bias the local average treatment…
Yavor Paunov
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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 over 15,000 time intervals on a dependent…
Björn Backgård
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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 restrictions. My idea was to create a new variable,…
CorporateNationalism
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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 program and or package I could use? Thx
clog14
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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 is the number of restrictions and I am assuming…
Alexander Whyte
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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). > library ("urca") Created articial data > nobs = 200 # number of…
mr.rox
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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 aware of several rescalings of the normal…
მამუკა ჯიბლაძე
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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 the hypothesis if the averages increase…
WCMC
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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: H0: alpha1 + beta1 = 1 H1: alpha1 + beta1 ≠ 1 So I am trying to follow the advice from Testing the sum of GARCH(1,1)…
Eric
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