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From |
Steven Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Inequality constraints in cnsreg |

Date |
Fri, 5 Nov 2010 17:07:50 -0400 |

/*

Steve Herve, Here is a solution to a reduced problem: Your equation is: y = b0 + b1 x1 + b2 x2 = = (b1 - b2) x1 + + b2( x2- x1) If b1 - b2 = exp(c) where c = log(b1 - b2), then b1 - b2>0 Let z = x2 - x1 Then fit the *non-linear* equation y = exp(c)*x1 + b2 Z */ ***********CODE BEGINS****** sysuse auto, clear keep if rep78 !=. rename rep78 x1 rename foreign x2 rename mpg y gen z = x2 - x1 reg y x1 x2 //constraint not met nl (y = {alpha} + exp({c})*x1 + {b2}*z) //get constant & b2 nlcom b1: log(_b[c:_cons]) +_b[b2:_cons] // get b1 matrix b1x =r(b) gen b1hat = el(b1x,1,1) /* Get new prediction: no longer OLS */ gen yhatnew = _b[_cons] + b1hat* x1 + _b[b2:_cons]*x2 /* recompute Root MSE */ gen resid = y - yhatnew gen resid2 = (y - yhatnew)^2 total resid2 local rmse = sqrt(r(b)/e(df_r)) di `rmse' //compare to original Root MSE *********CODE ENDS*********** Steve Steven J. Samuels sjsamuels@gmail.com 18 Cantine's Island Saugerties NY 12477 USA Voice: 845-246-0774 Fax: 206-202-4783 On Nov 5, 2010, at 2:07 PM, Herve STOLOWY wrote: Dear Statalisters: I am using Stata 11.1 I would like to use cnsreg to create the following constaints: Y X1 X2 X3 X4 constriant 1 X2 > X1 constraint 2 X4 > X3 I have read the threads which existed a few years ago and a recent one on the topic of inequality constraints (http://www.stata.com/statalist/archive/2010-04/msg01437.html). I have also read the answer from Marteen Buis and his suggested solution (http://www.stata.com/support/faqs/stat/intconst.html). I do not understand very well the suggested solution and I am not trained in programming. Consequently, my question is the following: is there a "not too complex" solution to get the constraints I need? Best regards Hervé Stolowy * * 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/ * * 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: Inequality constraints in cnsreg***From:*"Herve STOLOWY" <stolowy@hec.fr>

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