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st: Constrained clogit?!


From   Guido Tiemann <tiemann@ihs.ac.at>
To   statalist@hsphsun2.harvard.edu
Subject   st: Constrained clogit?!
Date   Mon, 19 May 2008 17:41:58 +0200

Dear statalisters!!

I am somewhat lost regarding the estimation of a constrained clogit model in Stata 10. The specification is very simple like, for instance:

clogit dep indep_a indep_b, group(id)

So far not problem at all, but I would like to impose two constraints:

1. The coefficients on indep_a and indep_b should add up to unity. (So, the model I am really interested in would be something like pr(choice_i = j) = beta1*ut1 + (1-beta1)*ut2.)
2. The coefficnent(s) should also fall into the inverval from 0 to 1.

Of course, I could implement constraint 1 by applying a simple linear constraint, but given the data at hand, my results are often out of the bounds defined in constraint 2.

So, how can I implements constraints 1 and 2 at the same time? Of course, some kind of a logistic constraint would be a good idea, but how do I do that in Stata. Any ideas?

Thanks a lot and best regards,
Guido


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