Re: [R] Testing a linear hypothesis after maximum likelihood

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Thu 29 Dec 2005 - 23:04:05 EST

          Why can't you use a likelihood ratio? I would write two slightly different functions, the second of which would use the linear constraint to eliminate one of the coefficients. Then I'd refer 2*log(likelihood ratio) to chi-square(1). If I had some question about the chi-square approximation to the distribution of that 2*log(likelihood ratio) statistic, I'm use some kind of Monte Carlo, e.g., MCMC.

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	  hope this helps.
	  spencer graves


Peter Muhlberger wrote:

> I'd like to be able to test linear hypotheses after setting up and running a
> model using optim or perhaps nlm. One hypothesis I need to test are that
> the average of several coefficients is less than zero, so I don't believe I
> can use the likelihood ratio test.
>
> I can't seem to find a provision anywhere for testing linear combinations of
> coefficients after max. likelihood.
>
> Cheers & happy holidays,
>
> Peter
>
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-- 
Spencer Graves, PhD
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Received on Thu Dec 29 23:12:58 2005

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