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Re: st: Constrained linear regression... is not linear?


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Constrained linear regression... is not linear?
Date   Tue, 7 Dec 2010 08:06:40 +0000 (GMT)

--- On Tue, 7/12/10, kokootchke wrote:
> I am trying to run the following constrained linear
> regression:
> y = ax + (1-a)z, with a in [0,1]
<snip>
> What I'm doing is the following:
> constraint define 1 x+z = 1
> constraint define 2 x >= 0
> constraint define 3 x <= 1
> cnsreg y x z, c(1-3)

Constraints 2 and 3 are not allowed with -cnsreg-. The 
problem is the fact that you want to constrain the parameter
within a certain range, and this is not considered to be
linear constraint. If you want to estimate this model you'll
have to use either -nl- or -ml- as is discussed here:
<http://www.stata.com/support/faqs/stat/intconst.html>

Hope this helps,
Maarten

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

http://www.maartenbuis.nl
--------------------------


      

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