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Re: st: Inequality Restrictions with CLogit


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Inequality Restrictions with CLogit
Date   Sun, 3 May 2009 08:12:39 +0000 (GMT)

In order to impose that constraint you have to make your own Stata 
program that estimates your model using -ml-. It can be done, but
my guess would be that the cost you would need to invest to make
that program would not weight up against the benefits. If you 
still want to do that, you will need to get access to this book:
http://www.stata.com/bookstore/mle.html

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

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


--- On Sat, 2/5/09, L S <lts40301@gmail.com> wrote:

> From: L S <lts40301@gmail.com>
> Subject: st: Inequality Restrictions with CLogit
> To: statalist@hsphsun2.harvard.edu
> Date: Saturday, 2 May, 2009, 8:24 PM
> Hello,
> 
> I am trying to estimate a simple logit binary discrete
> choice model
> using clogit.  For example, utility for person i from
> option j is
> given by
> 
> U(ij) = b1*x1(ij) + b2*x2(ij) + e(ij)
> 
> where the error e is distributed Type 1 Extreme Value. 
> Currently, in
> my data, I am receiving a nonsensical negative sign on
> b1—I would like
> to restrict the maximum likelihood estimation to have b1 be
> positive.
> I came across the following post on maximum likelihood (ML)
> estimation
> with interval constraints, which seems fairly related:
> 
> http://www.stata.com/support/faqs/stat/intconst.html
> 
> It seems that, while inequality restrictions are not
> directly built
> into STATA, one can implement them by replacing b1 with
> exp(c):
> 
> U(ij) = exp(c)*x1(ij) + b2*x2(ij) + e(ij)
> 
> and then estimating c and b2, as the expression exp(c) will
> always be
> positive.
> 
> My question is: How would one actually program this in
> practice using
> clogit?  Can one actually use clogit with this, or is it
> necessary to
> use ML?
> 
> To get some data to see the issue at hand, one can do:
> 
> webuse lowbirth
> clogit low lwt smoke, group(pairid)
> 
> How could one restrict the coefficient on lwt to be
> positive?  (I have
> no idea for this data if this restriction would make
> sense.)
> 
> Thanks a lot!
> 
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