Alternative Forms for Restricted Regressions

24 Pages Posted: 1 Apr 2007

See all articles by Joe Hirschberg

Joe Hirschberg

University of Melbourne - Department of Economics

Jenny N. Lye

University of Melbourne - Department of Economics

Daniel J. Slottje

Southern Methodist University (SMU) - Department of Economics

Date Written: March 2007

Abstract

The estimation of regression models subject to linear restrictions is a widely applied technique, however, aside from simple examples, the equivalence between the linear restricted case to the reparameterization or substitution case is rarely employed. We derive a general relationship that allows the conversion between the two forms of the restricted models. Examples are given in which the transformation from one form to the other are demonstrated as well as the combination of both forms of restrictions. In addition, we demonstrate how an alternative Wald test of the restrictions can be constructed using an augmented version of the reparameterized model.

Keywords: Linear Restrictions, Reparameterization, Demand Systems, Polynomial lags, Spline lags

JEL Classification: C10, C13, C12

Suggested Citation

Hirschberg, Joseph G. and Lye, Jenny N. and Slottje, Daniel J., Alternative Forms for Restricted Regressions (March 2007). Available at SSRN: https://ssrn.com/abstract=977341 or http://dx.doi.org/10.2139/ssrn.977341

Joseph G. Hirschberg (Contact Author)

University of Melbourne - Department of Economics ( email )

Victoria 3010, 3010
Australia

Jenny N. Lye

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

Daniel J. Slottje

Southern Methodist University (SMU) - Department of Economics ( email )

Dallas, TX 75275
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
38
Abstract Views
536
PlumX Metrics