Alternative Forms for Restricted Regressions
24 Pages Posted: 1 Apr 2007
Date Written: March 2007
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: Suggested Citation