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st: cnsreg-Constrained Weighted OLS


From   Martin <jasonhome@freenet.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: cnsreg-Constrained Weighted OLS
Date   Wed, 21 Dec 2011 10:46:19 -0800 (PST)

Dear all,

I have following problem. I try to run a regresion like this:

y=b0 + b1*w1*x1+b2*w2*x2 +b3*w3*x3+b4*w4*x4 

b0=intercept, b1,b2,b3,b4 Regressors w(i) Weights of the Variable X(i). In
my problem these w are market values of a country and x are Dummies (if
y=stock return is of this country). So because of multicolinearity I have to
put 2 constraints:

(1) w1*b1+w2*b2=0
(2) w3*b3+w4*b4=0

Is there a solution with cnsreg possible. I tried but i am not so trained
and a little bit desperate.
Your help is greatly advanced

kind regards 

Martin

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