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Re: st: Inequality constraint with mata -optimize-


From   Dorothy Bridges <dbstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Inequality constraint with mata -optimize-
Date   Sun, 29 May 2011 16:09:08 -0700

Thanks, Stas.  I am using ML to estimate a disequilibrium model, in
which the likelihood function is set up as in Maddala and Nelson,
"Maximum Likelihood Methods for Models of Markets in Disequilibrium,"
Econometrica, 1974.  I simply want to constrain two of the parameters
-- variances of the error terms in the demand and supply equations --
to be greater than or equal to zero.

Many thanks,
Dorothy

On Sun, May 29, 2011 at 3:17 PM, Stas Kolenikov <skolenik@gmail.com> wrote:
> On Sun, May 29, 2011 at 2:42 PM, Dorothy Bridges <dbstata@gmail.com> wrote:
>> I'd like to constrain two parameters to be greater than zero.  I
>> understand the Cc syntax for linear equality constraints, but I'm not
>> sure how to code Cp'>=C.  Thanks very much in advance for your help.
>
> Describe your problem in more detail, please. Inequality constraints
> on parameters make for a rather complicated inference with weird
> asymptotic distributions, so you'd be better very much aware that you
> are doing the right thing.
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
>
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