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st: Constrained regression


From   Höchle, Daniel (Pfaeffikon) <daniel.hoechle@rmf.ch>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Constrained regression
Date   Mon, 11 Aug 2008 16:16:43 +0200

Dear all,

I would like to estimate regression model

y_t = a1*x1_t + a2*x2_t + ... ak*xk_t + e_t

with the following constraints:

a1>=0
a2>=0
...
ak>=0
a1 + a2 + ... + ak = 1

I tried to use -cnsreg- and -nl- but somehow did not manage estimate the model. 

Any help would be highly appreciated.

Kind regards,
Daniel



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