Re: st: Inequality constraints in cnsreg

[Steven Samuels <sjsamuels@gmail.com>]

/*
I HAD A WRONG SIGN IN MY PREVIOUS VERSION.  HERE'S THE CORRECTED ONE.  
I'VE ADDED AN ESTIMATE OF THE ROOT MSE FOR THE ORIGINAL PROBLEM.
Steve


Herve,   Here is a solution to a reduced problem:

Your equation is:
y =  b0 + b1 x1 + b2 x2 =
  = (b1 - b2) x1 +  + b2( x2- x1)

If b1 - b2 = exp(c)    where c = log(b1 - b2), then b1 - b2>0

Let z = x2 - x1

Then fit the *non-linear* equation

y = exp(c)*x1 + b2 Z
*/

***********CODE BEGINS******
sysuse auto, clear
keep if rep78 !=.
rename rep78 x1
rename  foreign x2
rename mpg y

gen z = x2 - x1
reg y x1 x2  //constraint not met

nl (y = {alpha} + exp({c})*x1 + {b2}*z)  //get constant & b2

nlcom b1: log(_b[c:_cons]) +_b[b2:_cons] // get b1


matrix b1x =r(b)

gen b1hat = el(b1x,1,1)

/* Get new prediction: no longer OLS */
gen yhatnew = _b[_cons] + b1hat* x1 + _b[b2:_cons]*x2


/* recompute Root MSE */

gen resid = y - yhatnew
gen resid2 = (y - yhatnew)^2
total resid2
local rmse = sqrt(r(b)/e(df_r))

di `rmse'   //compare to original Root MSE

*********CODE ENDS***********


Steve

Steven J. Samuels
sjsamuels@gmail.com
18 Cantine's Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax:    206-202-4783

On Nov 5, 2010, at 2:07 PM, Herve STOLOWY wrote:

Dear Statalisters:

I am using Stata 11.1

I would like to use cnsreg to create the following constaints:

Y X1 X2 X3 X4
constriant 1 X2 > X1
constraint 2 X4 > X3

I have read the threads which existed a few years ago and a recent one
on the topic of inequality constraints
(http://www.stata.com/statalist/archive/2010-04/msg01437.html).

I have also read the answer from Marteen Buis and his suggested solution
(http://www.stata.com/support/faqs/stat/intconst.html).

I do not understand very well the suggested solution and I am not
trained in programming.

Consequently, my question is the following: is there a "not too complex"
solution to get the constraints I need?

Best regards

Hervé Stolowy

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