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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Constrained regression question |

Date |
Wed, 28 Mar 2012 09:43:38 +0200 |

On Wed, Mar 28, 2012 at 12:04 AM, John Pfaff wrote: > 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 > > * I do not see any obvious way to impose restriction (2) when using invlogit. This is how you impose restriction (2): *---------------- begin example ------------------ sysuse auto, clear generate mpg2 = -mpg gen turn2 = turn*10 nl (mpg2 = invlogit({lgta})*price + /// invlogit({lgtb})*turn2 + /// ( 0.95 - /// invlogit({lgta}) - /// invlogit({lgtb}) )*foreign + /// {c}) nlcom (price: invlogit(_b[lgta:_cons])) /// (turn2: invlogit(_b[lgtb:_cons])) /// (foreign: 0.95 - /// invlogit(_b[lgta:_cons]) - /// invlogit(_b[lgtb:_cons])) *----------------- end example ------------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**References**:**st: Constrained regression question***From:*"John Pfaff" <JPFAFF@law.fordham.edu>

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