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st: Constrained regression

From   H�chle, Daniel (Pfaeffikon) <[email protected]>
To   <[email protected]>
Subject   st: Constrained regression
Date   Mon, 11 Aug 2008 16:16:43 +0200

Dear all,

I would like to estimate regression model

y_t = a1*x1_t + a2*x2_t + ... ak*xk_t + e_t

with the following constraints:

a1 + a2 + ... + ak = 1

I tried to use -cnsreg- and -nl- but somehow did not manage estimate the model. 

Any help would be highly appreciated.

Kind regards,

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