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Re: st: Nonlinear least squares restrictions


From   Maarten Buis <[email protected]>
To   [email protected]
Subject   Re: st: Nonlinear least squares restrictions
Date   Wed, 5 Jun 2013 17:10:59 +0200

On Wed, Jun 5, 2013 at 4:34 PM, G. Anderson wrote:
> Is the right setup using  propcnsreg:
>
> yield dum00 dum01 dum02 dum03 dum04 dum05 ,constrained(gdp unemployment
> inflation) lambda(dum00 dum01 dum02 dum03 dum04 dum05)
>
> Where dum are annual dummies.
> In particular- do I include the annual dummies as both independent variables
> and variables in lambda?

Yes, I did it this way to allow for a more flexible specification of
time as the main effect than in the interaction effect (-lambda()-).
So, you could have time as dummies for the main effect, but constrain
time to be linear in the interaction effect. The other way around is
technically possible, but I would not recommend it.

> Is it also possible to impose a normalization so
> that on average the coefficients on the dummies is equal to 1?

Just create your variables using an effect or sigma or deviation
coding scheme (different names for the same thing).

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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