Re: st: re: constraints

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 07:39 AM 6/29/2005 +0100, Vidya Mahambare wrote:
> Following Kit's suggestion I redefined the 
> constraint   L.wpi+L2.wpi+L3.wpi=1 as
> b(L3) = 1-b(L)-b(L2), and regressed
> (wpi - L.wpi)  on (L.wpi-L3.wpi), (L2.wpi-L3.wpi) and other variables.
>
> This does not produce a correct R^2, as Richard suspected. It is much lower
> because of variables transformations, I think. Is there a way to to 
> calculate a
> correct R^2 after using -reg- for this problem?
>
> Thanks,
> Vidya
There is still the original suggestion from the FAQ - basically run cnsreg, 
compute the predicted values, and correlate them with the observed 
values.  That seems like the simplest approach, unless there is a problem I 
am overlooking.

In addition, as I just noted in another thread, in Stata 9 the -nl- command 
provides a pretty good alternative to -cnsreg-.  Not only is there less 
typing, you get R^2 as part of the output.  The -nl- command was rewritten 
in Stata 9 and I believe you said you were using 8, so I don't know whether 
or if you can do this.  Anyway, a simple Stata 9 example is

. sysuse auto
. nl (mpg = {b0} + {b1}*price + {b1}*weight + {b1}*displacement)

Whether you can adapt this to Stata 8, or whether you'll still run into the 
same  issue of needing to transform the LHS, I don't know.  I'd probably 
just go with the FAQ unless there is a problem with it in this case.  Or, 
if you are going to be doing zillions of things like this, maybe it is 
worth your while to figure out how to get -nl- to do this efficiently.


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Richard Williams, Notre Dame Dept of Sociology
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