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Re: st: re: constraints

From   Richard Williams <[email protected]>
To   [email protected]
Subject   Re: st: re: constraints
Date   Tue, 28 Jun 2005 23:20:57 -0500

At 06:45 PM 6/28/2005 -0400, Kit Baum wrote:
Although cnsreg is useful, it is hardly necessary for Vidya's problem:

"I am trying to estimate an equation similar to this -

constraint define 1 L.wpi+L2.wpi+L3.wpi=1
cnsreg wpi L.wpi L2.wpi L3.wpi L.ygapm L2.ygapm sswpi L.sswpi, constraint(1)"

This constraint may be rewritten as b(L3) = 1-b(L)-b(L2) and merely substituted into the equation,

(wpi - L.wpi) regressed on (L.wpi-L3.wpi), (L2.wpi-L3.wpi) and the rest

which you can estimate with regress, robust.

If you want the coefficient on L3.wpi, calculate it via lincom.

Since I made the claim that many/most/all problems involving (linear) constraints could be handled by regular regression as well as by cnsreg, I am glad Kit was able to do the algebra on this one! However, does this produce a correct R^2, which is what Vidya was seeking in the first place? I was thinking of situations where all the manipulations could be done on the RHS, but here the LHS has to be changed.

Richard Williams, Notre Dame Dept of Sociology
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