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st: Constrained linear regression... is not linear?

From   kokootchke <>
To   statalist <>
Subject   st: Constrained linear regression... is not linear?
Date   Mon, 6 Dec 2010 20:17:11 -0500

I am trying to run the following constrained linear regression:
y = ax + (1-a)z, with a in [0,1]
I am using the cnsreg command, which I've used before but now it's giving me error r(131) (not possible with test), which I never saw before. I did a search for this error and it says it happens when the regression is non-linear... but I don't understand what is non-linear about my constraints or my regression.
What I'm doing is the following:
constraint define 1 x+z = 1constraint define 2 x>=0constraint define 3 x<=1
cnsreg y x z, c(1-3)
But this doesn't work.
If I run the regression only using constraint 1, the regression does run but it gives me a coefficient for x which is outside of [0,1]... but I don't want this. Does it mean that there's no solution with the three restrictions in place?
I'm using Stata v10.
I appreciate any suggestions. Thanks in advance.Adrian

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