st: Inequality constraints and quadratic programming

[Matt Dobra <mdobra@gmu.edu>]

Dear Statalisters,

Is there a way to estimate a quadratic programming model in Stata using 
both inequality and equality constraints on the estimated coefficients? 
I am trying to estimate:

y=b1x1+b2x2+e
s.t.
(1) b1+b2=1
(2) 0<=b1<=1
(3) 0<=b2<=1

As an aside, it is simple enough to estimate a cnsreg model with only 
the first constraint...Now, my intuition is telling me that in this 
particular case:

a) if OLS using only the first constraint yields b1 and b2 between 0 and 
1, then the other two constraints are non-binding so the estimates from 
a regression using just the first constraint should be the same as a 
regression using all three.

b) if OLS using only the first constraint yields (say) b1<0 and b2>1, 
then the best fit for a regression using all three constraints should be 
b1=0 and b2=1. 
Admittedly, my intuition on these matters has a very large error term 
and is often biased, which is likely compounded in this case by the fact 
that my knowledge of quadratic programming is limited.  Any comments on 
either the initial question or my (likely erroneous) intuition would be 
greatly appreciated!

Thanks,

Matt

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