Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down at the end of May, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"John Pfaff" <JPFAFF@law.fordham.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Constrained regression question |

Date |
Tue, 27 Mar 2012 18:04:11 -0400 |

Hello, I am curious if it is possible to use Stata to estimate a set of weights. My basic problem is the following: I have data on R_t for years t = 1988 to 2008 I have data on A_t for years t = 1977 to 2008 I want to see how well I can approximate R_t using 11 lagged years of A_t. In other words, I want to estimate the weights w_s in the following equation: R_t = w0*A_t + w1*A_(t-1) + w2*A_(t-2) + ... + w11*A_(t-11) The catch is that I have two sets of restrictions: (1) For each w_s, 0 < w_s < 1. (2) Also, w0 + w1 + ... + w11 = 0.95 Simply running a simple regression fails, since restriction (1) is violated numerous times (lots of negative weights). I started at http://www.stata.com/support/faqs/stat/interval-constraints.html, which showed me how to satisfy restriction (1). But two problems arise: * The non-linear regression dropped 7 of the 11 A variables. * I do not see any obvious way to impose restriction (2) when using invlogit. Is there a better way to accomplish this? Thank you for any assistance! John * * 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/

**Follow-Ups**:**Re: st: Constrained regression question***From:*Maarten Buis <maartenlbuis@gmail.com>

- Prev by Date:
**st: invalid syntax of marksample depending on option specified in preceding line for syntax?** - Next by Date:
**st: Choosing standard error form to correct for serial correlation in panel data** - Previous by thread:
**st: invalid syntax of marksample depending on option specified in preceding line for syntax?** - Next by thread:
**Re: st: Constrained regression question** - Index(es):