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st: RE: Constrained regression


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Constrained regression
Date   Mon, 11 Aug 2008 18:11:02 +0100

Constraints in Stata mean linear constraints. Inequalities don't qualify. 

As I understand it your coefficients can't be arbitrarily positive or zero and yet still sum to 1. Each must also be between 0 and 1. 
That last is sometimes met by reparameterising in terms of the logit. Nevertheless, the question of implementing the last constraint still remains. 

Nick
n.j.cox@durham.ac.uk  

Höchle, Daniel 

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. 


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