Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Inequality constraint with mata -optimize-

From   Richard Williams <>
Subject   Re: st: Inequality constraint with mata -optimize-
Date   Sun, 29 May 2011 19:21:30 -0500

At 06:09 PM 5/29/2011, Dorothy Bridges wrote:
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.

Often this is done by estimating the log of the parameter. See, for example, Stata's -hetprob- program.

Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index