Hi, I would like to know if anyone has any idea of how to run an OLS with constraints? I need to contraint a coefficient estimate in the model equal to 1, and I am not sure how to include it into the OLS estimation... I was hoping to find something like "cnsreg" in STATA.. thank you Soyoko ______________________________________ Ms. Soyoko Umeno Graduate Research Assitant for the Illinois-Missouri Biotechnology Alliance (IMBA) at http://www.imba.missouri.edu/ Ph.D. Student at the Department of Agricultural and Consumer Economics at the University of Illinois at Urbana-Champaign Office Phone: 217-333-3417 or 217-333-0364 Fax: 217-244-4817 Mailing Address: 1301 W. Gregory Dr. MC710, Urbana, IL 61801
Use lm() or glm() with argument 'offset' set to
the value of the column whose coefficient must be 1.
See help("lm").
- tom blackwell - u michigan medical school - ann arbor -
On Wed, 29 Oct 2003, umeno wrote:
> Hi,
>
> I would like to know if anyone has any idea of how to run an OLS with
> constraints? I need to contraint a coefficient estimate in the model equal
to
> 1, and I am not sure how to include it into the OLS estimation...
>
> I was hoping to find something like "cnsreg" in STATA..
>
> thank you
> Soyoko
>
> ______________________________________
> Ms. Soyoko Umeno
> Graduate Research Assitant for the Illinois-Missouri Biotechnology Alliance
(IMBA) at http://www.imba.missouri.edu/
> Ph.D. Student at the Department of Agricultural and Consumer Economics
> at the University of Illinois at Urbana-Champaign
> Office Phone: 217-333-3417 or 217-333-0364
> Fax: 217-244-4817
> Mailing Address: 1301 W. Gregory Dr. MC710, Urbana, IL 61801
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
I don't know STATA, but if you want to force a specific regression
coefficient to be 1, I think that can be done with the formula.
Consider the following:
DF <- data.frame(x1=1:6, x2=rep(1:2, 3), y=rep(1:3, 2))
lm(y-x1~x2-1, DF)
The formula "y-x1~x2-1" fits a noconstant model, specified by
the
"-1" of y-x1 regressed on x2.
Does this answer the question?
spencer graves
umeno wrote:
>Hi,
>
>I would like to know if anyone has any idea of how to run an OLS with
>constraints? I need to contraint a coefficient estimate in the model equal
to
>1, and I am not sure how to include it into the OLS estimation...
>
>I was hoping to find something like "cnsreg" in STATA..
>
>thank you
>Soyoko
>
>______________________________________
>Ms. Soyoko Umeno
>Graduate Research Assitant for the Illinois-Missouri Biotechnology Alliance
(IMBA) at http://www.imba.missouri.edu/
>Ph.D. Student at the Department of Agricultural and Consumer Economics
>at the University of Illinois at Urbana-Champaign
>Office Phone: 217-333-3417 or 217-333-0364
>Fax: 217-244-4817
>Mailing Address: 1301 W. Gregory Dr. MC710, Urbana, IL 61801
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
>