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st: Re: Constraining OLS coefficients so that prediction satisfies a particular condition


From   Amer Hasan <amerhasan1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Constraining OLS coefficients so that prediction satisfies a particular condition
Date   Sat, 21 May 2011 07:57:53 -0400

Thank you both.

Maarten do you have any sample code on using gmm to program ml?

Having never programmed my own ml, I am going to go over the archives
to see how others have gone about it.  But I would also be grateful if
you could point me to a stata reference on how to program your own ml.

Thanks
Amer

On Fri, May 20, 2011 at 8:21 AM, Amer Hasan <amerhasan1@gmail.com> wrote:
>
> Dear Statalist Users:
>
> I would like to perform the following calculation using Stata 10.1SE
> on a windows xp machine.
>
> reg y1 x1 x2 if year==1
>
> predict y2-hat if year==2, xb
>
> such that y1 - y2-hat = K
>
> y1 - is observed
>
> y2-hat - is the prediction using betas of year 1 and Xs of year 2.
>
> K is the observed difference between y1 and y2 (also observable).
>
> I know I can constrain the betas and that should change the
> prediction. What I am not sure about is how to do so in such a way
> that the prediction satisfies the condition. Any guidance on how to
> start would be much appreciated. I may also not be seeing the forest
> for the trees.
>
> Many thanks in advance
> Amer
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