st: Nonlinear constraints

[Marcello Pagano <pagano@hsph.harvard.edu>]

Sorry for the delay.
m.p.

Begin forwarded message:

> From: Kit Baum <baum@bc.edu>
> Date: May 17, 2007 4:51:29 PM EDT
> To: statalist@hsphsun2.harvard.edu
> Subject: nonlinear constraints
>
> sacrificial habanero	
>
> Emre sid
>
> is there any way to incorporate a non-linear constraints when you  
> are using
> mle?
>
>
> Of course. When you write down the likelihood function, feel free  
> to substitute any nonlinear constraints you wish into the log- 
> likelihood. Estimate the original model, estimate the one with  
> constraints, and compare the two with a LRT (lrtest). The number of  
> degrees of freedom should correspond to the reduction in length in  
> the parameter vector.
>
>
> Kit Baum, Boston College Economics and DIW Berlin
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
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