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st: RE: boundary constraints within nl


From   "Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: boundary constraints within nl
Date   Fri, 6 Jun 2008 14:00:19 -0400

Marc Keuschnigg wrote:

>>I am estimating non linear least squares models (nl) using equations 
like: nl (y =  ({a}+{b}* x) * (1-x)).
My question is, how do I impose parameter restrictions like a >=0 and b 
 >=0?
I could log-transform the parameters, but I don't know how to do it 
technically within the nl command.<<

This is generally a good strategy to avoid constrained optimization but
just one little warning: You can end up with glacially slow convergence
if the estimate wants to go towards the boundary and in the transformed
metric ends up drifting off towards +/- Infinity. You will want to
monitor each parameter carefully and may need to put in a penalty term
to get things to converge. 


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