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From |
"John Pfaff" <[email protected]> |

To |
<[email protected]> |

Subject |
st: Constrained regression question |

Date |
Tue, 27 Mar 2012 18:04:11 -0400 |

Hello, I am curious if it is possible to use Stata to estimate a set of weights. My basic problem is the following: I have data on R_t for years t = 1988 to 2008 I have data on A_t for years t = 1977 to 2008 I want to see how well I can approximate R_t using 11 lagged years of A_t. In other words, I want to estimate the weights w_s in the following equation: R_t = w0*A_t + w1*A_(t-1) + w2*A_(t-2) + ... + w11*A_(t-11) The catch is that I have two sets of restrictions: (1) For each w_s, 0 < w_s < 1. (2) Also, w0 + w1 + ... + w11 = 0.95 Simply running a simple regression fails, since restriction (1) is violated numerous times (lots of negative weights). I started at http://www.stata.com/support/faqs/stat/interval-constraints.html, which showed me how to satisfy restriction (1). But two problems arise: * The non-linear regression dropped 7 of the 11 A variables. * I do not see any obvious way to impose restriction (2) when using invlogit. Is there a better way to accomplish this? Thank you for any assistance! John * * 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 regression question***From:*Maarten Buis <[email protected]>

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