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Re: st: Constrained Regression in Stata


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Constrained Regression in Stata
Date   Fri, 3 Jun 2011 07:03:31 +0100

This is an FAQ. See

How do I fit a regression with interval constraints in Stata?
Isabel Cañette, StataCorp
October 2006; updated July 2008; minor revisions April 2011
http://www.stata.com/support/faqs/stat/intconst.html

Nick

On Fri, Jun 3, 2011 at 12:24 AM, Meg22 <meadhbh2@gmail.com> wrote:

> 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

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