On Sun, Nov 18, 2012 at 1:37 PM, Allin Cottrell <cottrell@wfu.edu> wrote:

On Sun, 18 Nov 2012, Lee Adkins quoted Allin:

>> In this example the computed variance for the baths
>> coefficient is 2.15e-13, which seems on the big side to be
>> forced to zero. I think the only way to get this "right" would
>> be to somehow keep track of which coefficients, if any, are
>> assigned a definite numerical value by the restriction -- i.e.
>> look for rows of the R matrix that have only one non-zero
>> entry?

and wrote:

> Yes, I think so, too since the std errors (and coefficients) can always be
> changed by an arbitrary amount by rescaling y or x or both.

I've now put that into CVS. Here's a precise account of what's new:

When transcribing from the numerically computed variance matrix for
restricted OLS estimates, we examine the R matrix (as in R\beta =
q). For each row of R, if it contains a single non-zero element we
record the column position of that element, call it p. And we
override the calculated values for all elements in row p and column
p of the variance matrix with zeros.

If anyone can think of a way this could end up doing the wrong
thing, please let me know!

It's almost working. Here is the example:

<hansl>

open "C:\Program Files (x86)\gretl\data\poe\br.gdt"

square sqft bedrooms

logs price sqft

series price = price/100

series y = price

list xlist = const l_sqft sq_bedrooms bedrooms baths age

matrix R = zeros(3,3)~I(3)

matrix r = { -700 ; 700; -5 }

ols price xlist

restrict --full

R = R

q = r

end restrict

matrix s = $stderr

matrix v = $vcv

</hansl>

produces

? R

R (3 x 6)

0 0 0 1 0 0

0 0 0 0 1 0

0 0 0 0 0 1

? s

s (6 x 1)

625.86

87.986

7.2960

1.8334e-006

0.0000

? v

v (6 x 6)

3.9170e+005 -54786. 2744.3 3.0797e-011 2.4730e-011 -1.1930e-012

-54786. 7741.5 -431.54 -2.0534e-012 -2.6880e-013 -5.0720e-014

2744.3 -431.54 53.232 -1.4314e-012 -1.2340e-014 -1.0910e-014

3.0797e-011 -2.0534e-012 -1.4314e-012 3.3613e-012 6.1714e-013 4.9556e-014

2.4730e-011 -2.6880e-013 -1.2340e-014 6.1714e-013 0.0000 0.0000

-1.1930e-012 -5.0720e-014 -1.0910e-014 4.9556e-014 0.0000 0.0000