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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Constrained Regression in Stata |

Date |
Fri, 3 Jun 2011 15:54:52 -0400 |

Whoops--of course they have to be if they are all positive and sum to one. The manual entry for -nl- mentions the mlogit transform as well... On Fri, Jun 3, 2011 at 3:53 PM, Austin Nichols <austinnichols@gmail.com> wrote: > Steve-- > True that (1-exp(_b[/b1])-exp(_b[/b2])) need not be positive, in which > case another parametrization would be required to meet the poster's > desiderata (possibly just switching the order of b1, b2, b3 would work > in many cases); did you mean to constrain all coefs to be less than > one as well? > > On Fri, Jun 3, 2011 at 3:08 PM, Steven Samuels <sjsamuels@gmail.com> wrote: >> In Austin's example, the third coefficient is constrained to be: (1-exp(_b[/b1])-exp(_b[/b2]. >> I don't see that this guarantees that the coefficient will be positive. The following code does, though in this example, the results are identical: >> >> *************************************** >> nl (gpm= (exp({b1})/(1+exp({b1})+exp({b2})))*wt /// >> + (exp({b2})/(1+exp({b1})+exp({b2})))*l /// >> + (1/(1+exp({b1})+exp({b2})))*tn /// >> +{_cons}) >> >> nlcom (exp(_b[/b1])/(1+exp(_b[/b1])+exp(_b[/b2]))) /// >> (exp(_b[/b2])/(1+exp(_b[/b1])+exp(_b[/b2]))) /// >> (1/(1+exp(_b[/b1])+exp(_b[/b2]))), post >> ***************************************************** >> >> >> Steve >> >> On Jun 3, 2011, at 10:05 AM, Austin Nichols wrote: >> >> If you want to impose all coefs are nonnegative and sum to one, try: >> >> sysuse auto, clear >> g gpm=1/mpg >> g wt=weight/1000 >> g l=length/1000 >> g tn=turn/1000 >> reg gpm wt l tn, nohe >> * constrained to be positive: >> nl (gpm=exp({b1})*wt+exp({b2})*l+exp({b3})*tn+{_cons}), nolog >> nlcom (exp(_b[/b1])) (exp(_b[/b2])) (exp(_b[/b3])), post >> * constrained to be positive and sum to one: >> nl (gpm=exp({b1})*wt+exp({b2})*l+(1-exp({b1})-exp({b2}))*tn+{_cons}) >> nlcom (exp(_b[/b1])) (exp(_b[/b2])) (1-exp(_b[/b1])-exp(_b[/b2])), post >> >> But imposing such assumptions tends to result in very implausible >> models, unless the unconstrained coefs are very close to satisfying >> your constraints. See also p.1188 of [R] nl. >> >> On Fri, Jun 3, 2011 at 2:03 AM, Nick Cox <njcoxstata@gmail.com> wrote: >>> 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. > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Constrained Regression in Stata***From:*Meg22 <meadhbh2@gmail.com>

**Re: st: Constrained Regression in Stata***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Constrained Regression in Stata***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: Constrained Regression in Stata***From:*Steven Samuels <sjsamuels@gmail.com>

**Re: st: Constrained Regression in Stata***From:*Austin Nichols <austinnichols@gmail.com>

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