Download LIMDEP

xxiv Table of Contents

Part III Model Estimation 117

Chapter 8 Commands for Estimating Models 119
8.1. Introduction 119
8.2. Model Commands 119
8.3. Output from Estimation Programs 120
8.3.1. Displaying Covariance Matrices 122
8.3.2. Controlling Output to the Screen - FAST and SILENT Execution 122
8.4. Output Files 123
8.4.1. Displaying the Contents of the Output File and the Execution Trace 123
8.4.2. Messages in the Trace File - The TYPE and TIMER Commands 124
8.5. The Review Window - Tables of Model Results 124
8.6. Numerical Optimization 125
8.6.1. Technical Display During Optimization 125
8.6.2. Interrupting the Iterations 126
8.6.3. Exit Codes 127
8.6.4. Iteration Controls 127
8.6.5. Starting Values 130
8.6.6. Hints for Iterative Estimation 131
8.6.7. Technical Details on Optimization 132
8.7 Multivariate Normal Probabilities 134
Chapter 9 Analyzing Models and Testing Hypotheses 137
9.1. Introduction 137
9.2. Model Components 138
9.2.1. Constant Terms 138
9.2.2. Using Weights 138
9.2.3. Lags and Logarithms 139
9.2.4. Partial Differences 140
9.3. Standard Output 141
9.4. Marginal Effects 144
9.5. Retrievable Results 147
9.6. The Last Model and Functions of Parameters 149
9.7. Creating and Displaying Predictions and Residuals 151
9.8. Imposing Equality and Fixed Value Restrictions 155
9.9. Linear Functions of Model Parameters 157
9.9.1. Computing Linear Functions of Parameters 158
9.9.2. F Tests in Linear Models 159
9.9.3. Wald Tests in Nonlinear Models 161
9.10. Nonlinear Restrictions - The WALD Command 162
9.11. Tests Based on Likelihood Functions - LR and LM Tests 165
9.11.1. Likelihood Ratio Tests 165
9.11.2. Lagrange Multiplier Tests 166
9.12. Hausman Tests 171
9.13. Moment Based Specification Tests 172