Donald Andrews in the econ dept at Yale University has written extensively
about inference on parameters that are on or near the boundry. See his
Econometrica paper for details (circa 1998). ez
-----Original Message-----
From: s-news-owner@lists.biostat.wustl.edu
[mailto:s-news-owner@lists.biostat.wustl.edu]On Behalf Of Spencer Graves
Sent: Thursday, August 28, 2003 11:24 AM
To: Prof Brian Ripley
Cc: Nicola.Beghetto@bancaimi.it; s-news@wubios.wustl.edu
Subject: Re: [S] constrained linear regression
For a discussion of statistical tests and confidence intervals with a
parameter that might be on a boundary, see Pinhiero and Bates (2000)
Mixed-Effects Models in S and S-PLUS (Springer, Sect. 2.4).
hope this helps. spencer graves
Prof Brian Ripley wrote:
> On Thu, 28 Aug 2003 Nicola.Beghetto@bancaimi.it wrote:
>
>
>>Thank you prof.Brian ripley for you suggestion.
>>Once I get the parameters from nnls.fit, I'd like to have also the
>>significance of the estimators, but the vcov() command (which I tried to
>>obtain the var-covar of the estimators,because nnls.fit doesn't give it)
>>doesn't give any results.
>>Did anyone have a suggestion on how to calculate the standard error of
such
>>estimators?
>
>
> Potentially there is no valid theory for this, as the true parameters
> might be on the boundary. But in practice you may do fine by just fitting
> (with lm) a model omitting all the variables whose coefs are fitted as
> zero. Just check that the confidence intervals for the remaining coefs do
> not go near zero.
>
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