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Re: st: Nonlinear least squares restrictions


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonlinear least squares restrictions
Date   Wed, 5 Jun 2013 14:21:11 +0200

Sounds to me like a proportionality constraint. I have implemented
that in -propcnsreg-, which you can download by typing in Stata -ssc
install propcnsreg-. There is a description of that type of models
here: <http://www.maartenbuis.nl/wp/prop.html>

-- Maarten

On Wed, Jun 5, 2013 at 1:23 PM, G. Anderson <ga274@cam.ac.uk> wrote:
> Hi,
>
> Using daily data, I am trying to estimate a relationship of the form y=a
> +bBX +u
>
> Where a is a scalar which can vary across years, b is a scalar which can
> vary across years, X is a vector of data and B is a vector of parameters
> which is fixed across years.
>
> Therefore I am trying to estimate a, b and B. I want to normalise b so that
> on average it is equal to 1 across years.
>
> I have tried experimenting using the nonlinear regression function but so
> far to no avail- is this type of restriction possible in Stata?
>
> Many Thanks,
> Gareth
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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
*
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