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st: Constrained Regression in Stata


From   Meg22 <meadhbh2@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Constrained Regression in Stata
Date   Thu, 2 Jun 2011 16:24:27 -0700 (PDT)

Hi!

I need to do a constrained regression in stata-I need all the beta
coefficents to be positive and sum to 1. 

I have 11 independent variables so my regression is:
reg Rrf bills it lt cor lcvalue lcgrowth medcap smallcap noncanbonds us jap
if fundno ==`i'

I need all the betas to be positive, sum to 1 and there to be a constant. 

I got the summing to 1 bit I think:
constraint define 1 bills + it + lt + cor + lcvalue + lcgrowth + medcap +
smallcap + noncanbonds + us + jap = 1
cnsreg  Rrf bills it lt cor lcvalue lcgrowth medcap smallcap noncanbonds us
jap, constraint(1)

But I cant add the positive coefficents but

Can anyone help me with this? Im relatively new to Stata and cant figure
this out at all!!

Thanks a lot! 

--
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