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From |
Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |

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

Subject |
Re: st: Constrained regression question |

Date |
Tue, 27 Mar 2012 23:51:58 -0400 |

You can modify example 6 of the FAQ you posted to restrict your coefficients to add up to 0.95 and to be between 0 and 1. Simply define the last coefficient as 0.95 times the coefficient, i.e, with three coefficients: a2 = 0.95*exp(t2)/(1+exp(t2)+exp(t3)) a3 = 0.95*exp(t3)/(1+exp(t2)+exp(t3)) a1 = 0.95/(1+exp(t2)+exp(t3)) _______________________ Jorge Eduardo Pérez Pérez On Tue, Mar 27, 2012 at 6:04 PM, John Pfaff <JPFAFF@law.fordham.edu> wrote: > 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/ > > * * 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/

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