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st: RE: Bounded Inequality Constraints


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Bounded Inequality Constraints
Date   Mon, 5 Dec 2011 14:48:56 +0000

I am confused on what you are seeking here; in particular, your constraints are manifestly two-sided, so some of the commentary seems to make little sense. 

I think there is only one alternative. You estimate without using any constraints and see if the constraints are satisfied automatically. That solution is sometimes of direct interest any way. 

However, if your model is re-parameterised appropriately then the interval constraints will be satisfied. It's then up to you to decide whether each variable should be included in the model. 

Nick 
n.j.cox@durham.ac.uk 

Dmitriy Glumov

I need to include inequality constraints into the regression I am
working on. In particular, I would like the coefficients of all the
independent variables to be between 2.5 and 5. To provide you with an
example, suppose I was using an Auto dataset and running the following
simple regression:

regress price mpg weight length

This regression needs to be constrained in such a way so that the
coefficients for mpg, weight, and length all stay bounded between 2.5
and 5 (and disregarded if they are outside this range). I know there
has been a fair amount of discussion in regards to this topic and
Maarten has posted this solution
(http://www.stata.com/support/faqs/stat/intconst.html), but I wasn't
sure if there's potentially an another, perhaps more appropriate way,
to solve the problem I am dealing with - one that requires bounding
(rather than a one-sided inequality). Moreover, I could not figure out
how to transform the solution that Maarten posted into the one where
both bounds are accounted for. Hence, any help with this would be
greatly appreciated. Thank you for your consideration.


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