Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Constrained Regression in Stata
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: Constrained Regression in Stata
Date
Fri, 3 Jun 2011 07:03:31 +0100
This is an FAQ. See
How do I fit a regression with interval constraints in Stata?
Isabel Cañette, StataCorp
October 2006; updated July 2008; minor revisions April 2011
http://www.stata.com/support/faqs/stat/intconst.html
Nick
On Fri, Jun 3, 2011 at 12:24 AM, Meg22 <[email protected]> wrote:
> I need to do a constrained regression in stata-I need all the beta
> coefficents to be positive and sum to 1.
>
> I have 11 independent variables so my regression is:
> reg Rrf bills it lt cor lcvalue lcgrowth medcap smallcap noncanbonds us jap
> if fundno ==`i'
>
> I need all the betas to be positive, sum to 1 and there to be a constant.
>
> I got the summing to 1 bit I think:
> constraint define 1 bills + it + lt + cor + lcvalue + lcgrowth + medcap +
> smallcap + noncanbonds + us + jap = 1
> cnsreg Rrf bills it lt cor lcvalue lcgrowth medcap smallcap noncanbonds us
> jap, constraint(1)
>
> But I cant add the positive coefficents but
*
* 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/