Re: st: constraining gamma 0,1 in GMNL command

[Arne Risa Hole <arnehole@gmail.com>]

Dear Heidi,

You cannot impose the restriction that gamma lies between 0 and 1 I'm
afraid. But given that gamma is estimated to be negative in your
model, an ad-hoc solution would be to simply constrain it to equal 0.

Arne (co-author of -gmnl-)

On 28 March 2014 22:33, Heidi Pitts <hmpitts@salud.unm.edu> wrote:
> Dear Statalist
> I have been running the gmnl code written by Dr. Arne Hole and the estimated gamma is negative (gamma= -0.259). Fiebig etal (2010) constrain gamma to take on a value between [0,1], but other papers (Keane and Wasi, 2009) feel that is not necessary. The gmnl code does not constrain the gamma to lie between 0,1. However, I'd like to constrain it for the full GMNL model for comparison. Has anyone tried this before?
>
> I'm wondering if the best way is to write a constraint, using the solution suggested in (http://www.stata.com/support/faqs/statistics/regression-with-interval-constraints/), so that it would appear
> constraint 1 [gamma]_cons = 0+1*invlogit(gamma)
>
> Or is it necessary to go into the .ado file?
>
> Any suggestions would be appreciated. Thank you for your consideration.
>
> Best,
> Heidi Pitts
> Dept. of Economics
> University of New Mexico
>
>
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