-reg3- supports GLS estimation and linear constraints; so something like:
. sysuse auto
. constraint define 1 mpg = length
. reg3 (price mpg weight length), const(1)
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Quang Nguyen
> Sent: Wednesday, June 08, 2005 5:52 AM
> To: [email protected]
> Subject: st: constrained regression
>
> Hi,
>
> I want to run a constrained regression using the
> feasible generalized least squares procedure. But it
> seems that the cnsreg command in Stata only produces
> the OLS estimates of the standard errors. Do you know
> how to obtain the GLS estimates?
>
> Thank you.
>
> Cheers,
>
> Quang
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
