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st: Inequality constraints in single and multi-equation models


From   Marcello Pagano <[email protected]>
To   [email protected]
Subject   st: Inequality constraints in single and multi-equation models
Date   Fri, 23 Dec 2005 22:29:07 -0500

Posted for Michael :

Hello all,

In the process of estimating an econometric cost function and associated
share equations (using Stata 8.0), I have tried to estimate an equation
with constraints that three of the parameters sum to one. While these
constraints held when estimating a single equation for the cost function
with the -cnsreg- command, the estimates of the parameters (input
shares) took on values less than zero and greater than one, which are
not possible in practice.

To compensate, I tried defining additional constraints that the three
parameters take on values between zero and one, using syntax such as: define constraint 7 0 < lnpl < 1.
I tried this twice, receiving error messages, "0 not found" and then "<
not found". I interpreted this as meaning either the syntax was
incorrect or this type of constraint simply cannot be estimated using
Stata. I hope I am wrong.

Any suggestions or clarifications as to 1) Whether such constraints can
be used in estimation with Stata and 2) if so, how they can be
incorporated into an estimation process using -sureg- or, failing that,
-cnsreg-, would be greatly appreciated.

--Michael Iacono


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