Re: [Gretl-users] restricted logit

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 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.