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st: impose dynamic constraints
From
Zhi Su <[email protected]>
To
statalist <[email protected]>
Subject
st: impose dynamic constraints
Date
Tue, 7 Jun 2011 22:14:37 -0400
I have variable Y, x1, x2, x3, x4, x5
I need to run regression
Y=b1*x1+b2*x2+b3*x3+u
and the estimate has to satisfy the conditions
corr(u,x2)=corr(b1*x1,X4)
corr(u,x3)=corr(b1*x1,x5)
How can I impose dynamic constraints on regression?
Or is it easier to break down to two regression and impose the constraints?
Y=b1*x1+v
v=b2*x2+b3*x3+u
I search online and did not get any clues about setting dynamic constraints.
Please advise.
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