st: Theil-Goldberger mixed estimation

[Christopher Baum <kit.baum@bc.edu>]

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A preliminary implementation of the Theil-Goldberger 'mixed estimation' routine for regression equations is available from SSC as package tgmixed. N.B.: this very old use of the term 'mixed estimation' has nothing in common with the current usage in, e.g., xtmixed or gllamm. From the help file:

tgmixed estimates a regression equation subject to stochastic linear constraints, using the Theil-Goldberger
(Int.Ec.Rev., 1961) mixed estimation technique. This estimator is a generalization of cnsreg, which applies exact linear
constraints to a regression equation. In the Theil-Goldberger technique, the constraints hold with some
degree of subjective belief. The routine computes the Theil compatibility statistic (Theil, JASA 1963) for the
null hypothesis that the sample and non-sample information are compatible. Under the null, this statistic is
distributed Chi-squared, with degrees of freedom equal to the number of stochastic constraints.

For more information, please see my slides from the recent Chicago 2011 Stata Conference,  downloadable from

http://econpapers.repec.org/paper/bocchic11/14.htm

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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