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From |
Austin Nichols <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Constrained linear regression... is not linear? |

Date |
Tue, 7 Dec 2010 11:14:30 -0500 |

If you're getting an answer outside [0,1] then perhaps your model is incorrectly specified, and you should rethink it. That said, try: drawnorm x z e, n(1000) clear seed(1) g y=min(max(1,round(3+.3*x+.7*z+e)),5) g ylz=y-z constraint define 1 x+z = 1 cnsreg y x z, c(1-3) nl (y={a}+{b}*x+(1-{b})*z) loc i=logit(.3) qui nl (y={a=0}+invlogit({b=`i'})*x+(1-invlogit({b=`i'}))*z) nlcom (invlogit([b]_cons)) (1-invlogit([b]_cons)) qui nl (ylz={a=0}+invlogit({b=`i'})*(x-z)) nlcom (invlogit([b]_cons)) (1-invlogit([b]_cons)), post test _b[_nl_1]=_b[_nl_2] On Tue, Dec 7, 2010 at 3:06 AM, Maarten buis <[email protected]> wrote: > --- On Tue, 7/12/10, kokootchke wrote: >> I am trying to run the following constrained linear >> regression: >> y = ax + (1-a)z, with a in [0,1] > <snip> >> What I'm doing is the following: >> constraint define 1 x+z = 1 >> constraint define 2 x >= 0 >> constraint define 3 x <= 1 >> cnsreg y x z, c(1-3) > > Constraints 2 and 3 are not allowed with -cnsreg-. The > problem is the fact that you want to constrain the parameter > within a certain range, and this is not considered to be > linear constraint. If you want to estimate this model you'll > have to use either -nl- or -ml- as is discussed here: > <http://www.stata.com/support/faqs/stat/intconst.html> * * 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/

**Follow-Ups**:**RE: st: Constrained linear regression... is not linear?***From:*kokootchke <[email protected]>

**References**:**st: Constrained linear regression... is not linear?***From:*kokootchke <[email protected]>

**Re: st: Constrained linear regression... is not linear?***From:*Maarten buis <[email protected]>

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