SV: st: truncreg with linear restriction

[Stefan Öberg <Stefan.Oberg@econhist.gu.se>]

Thank you!

The data is only truncated in the first period so I will try to use estimates of the residual variance from the second period. 

/Stefan

________________________________________
Från: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] för Austin Nichols [austinnichols@gmail.com]
Skickat: den 23 februari 2012 19:21
Till: statalist@hsphsun2.harvard.edu
Ämne: Re: st: truncreg with linear restriction

Stefan Öberg <Stefan.Oberg@econhist.gu.se>:
I suspect you would be better off not constraining the variance; see also
http://www.eco.rug.nl/~jacobs/jjdownload/truncateddistribution.pdf
but here are various options:

webuse nhanes2, clear
reg height age i.sex i.race if age>30
reg height age i.sex i.race if age>30 & height>160
truncreg height age i.sex i.race if age>30 , ll(160)
constraint 1 [sigma]_cons = 9.656
truncreg height age i.sex i.race if age>30 , ll(160) constraint(1)
qui truncreg height age i.sex i.race if age>30 , ll(1)
constraint 1 [sigma]_cons = `=e(sigma)'
truncreg height age i.sex i.race if age>30 , ll(160) constraint(1)

Note you really want to constrain to the residual variance, not the
population marginal variance; do you know what the constraint should
be?

On Thu, Feb 23, 2012 at 10:58 AM, Stefan Öberg
<Stefan.Oberg@econhist.gu.se> wrote:
> Hi!
>
> I am using truncreg to estimate the effects from a set of variables on heights that are subject to some truncation below a minimum height requirement. I would like to use the restricted estimator as proposed by Brian A’Hearn (2004), A restricted maximum likelihood estimator for truncated height samples, Economics & Human Biology, Volume 2(1), Pages 5–19.
>
> How do I write the linear restriction to do this?
>
> I am using Stata 11.2.
>
> Yours sincerely
> Stefan Öberg

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