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From |
Jorge Eduardo Pérez Pérez <[email protected]> |

To |
"[email protected]" <[email protected]> |

Subject |
Re: st: Constrained regression question |

Date |
Tue, 27 Mar 2012 23:55:44 -0400 |

Actually, that would restrict each coefficient to be between 0 and 0.95 ... _______________________ Jorge Eduardo Pérez Pérez On Tue, Mar 27, 2012 at 11:51 PM, Perez Perez Jorge Eduardo <[email protected]> wrote: > You can modify example 6 of the FAQ you posted to restrict your > coefficients to add up to 0.95 and to be between 0 and 1. Simply > define the last coefficient as 0.95 times the coefficient, i.e, with > three coefficients: > > a2 = 0.95*exp(t2)/(1+exp(t2)+exp(t3)) > a3 = 0.95*exp(t3)/(1+exp(t2)+exp(t3)) > a1 = 0.95/(1+exp(t2)+exp(t3)) > > _______________________ > Jorge Eduardo Pérez Pérez > > > > On Tue, Mar 27, 2012 at 6:04 PM, John Pfaff <[email protected]> wrote: >> 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/ >> >> > > > * > * 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/

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