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

From   Nick Cox <>
To   "''" <>
Subject   RE: st: Constrained linear regression... is not linear?
Date   Tue, 7 Dec 2010 20:08:03 +0000

I recommend the corresponding manual entries. Also plotting 

. twoway function logit(x)

. twoway function invlogit(x), ra(-10 10)

will remind you of how these functions behave. 



Thank you, Nick. I think you are right and that the problems are that (1) I'm not familiar with these reparametrizations, especially using the invlogit() and the logit() functions, and that (2) I'm not familiar with the -nl- command for this purpose. If you can recommend any other sources I could read to learn more about this, I'd much appreciate it.

> From:
> To:
> Date: Tue, 7 Dec 2010 18:41:22 +0000
> Subject: RE: st: Constrained linear regression... is not linear?
> The main problem with your initial formulation is that -constraint- will only accept linear constraints, but inequalities are not linear constraints.
> So, you need to use some other way of ensuring that your parameter value is between 0 and 1 and the standard trick is to parameterise indirectly using -invlogit()-.
> I don't think you need to learn Stata programming, ignoramus or not. It seems to me you need most to study how to invoke -nl- and Austin is just providing an example. logit(.3) is an initial value for parameter search.
> The FAQ Maarten cited is a little bit of a red herring, as although it carries much useful detail, it is phrased in terms of -ml- and -nl- is more useful in this respect.
> Nick
> kokootchke
> > > kokootchke wrote:
> > >> I am trying to run the following constrained linear
> > >> regression:
> > >> y = ax + (1-a)z, with a in [0,1]
> > >
> > >> 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)
> > > Maarten buis wrote:
> > > 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:
> Austin Nichols wrote:> If you're getting an answer outside [0,1] then perhaps your model is
> > incorrectly specified, and you should rethink it. That said, try:
> >
> > drawnorm x z e, n(1000) clear seed(1)
> > g y=min(max(1,round(3+.3*x+.7*z+e)),5)
> > g ylz=y-z
> > constraint define 1 x+z = 1
> > cnsreg y x z, c(1-3)
> > nl (y={a}+{b}*x+(1-{b})*z)
> > loc i=logit(.3)
> > qui nl (y={a=0}+invlogit({b=`i'})*x+(1-invlogit({b=`i'}))*z)
> > nlcom (invlogit([b]_cons)) (1-invlogit([b]_cons))
> > qui nl (ylz={a=0}+invlogit({b=`i'})*(x-z))
> > nlcom (invlogit([b]_cons)) (1-invlogit([b]_cons)), post
> > test _b[_nl_1]=_b[_nl_2]
> >
> Dear Maarten and Austin,
> Thank you for your replies but I'm afraid they are not very helpful -- mainly because I don't understand the code.
> I have implemented Austin's code by changing the variable names y, x, z and it does give me reasonable numbers but I'd like to know what it's doing and there are still a few things I don't get. I see that in the first few lines you are simply creating variables and making sure y is some linear combination of those variables. What does logit(.3) do and why are you doing that? Because it's the coefficient for x above? I have changed this parameter and noticed it has no effect on the results afterwards, but I don't understand what the nl command is doing with this value for the local variable i, and what the nlcom command is doing afterwards.
> Maarten, I have read the information in the link you sent but I must say that it's beyond my programming capabilities. I'm not a complete ignorant when it comes to programming and I have programmed in C and Fortran before... so perhaps you could recommend a few links/books that could teach me how to do this sort of programming in Stata?
> Thank you once again.Adrian

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