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Re: st: Constrained clogit?!


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Constrained clogit?!
Date   Mon, 19 May 2008 17:28:58 +0100 (BST)

--- Guido Tiemann <tiemann@ihs.ac.at> wrote:
> 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.

You cannot estimate a model with constraint 2 with -clogit-, you will
have to create your own program where you maximize your own likelihood
function which implements this constraint. 

-- Maarten


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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