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by ffm
Thu May 03, 2012 2:47 am
Forum: Estimation
Topic: Putting limits on estimated coefficient values
Replies: 38
Views: 39836

Re: Putting limits on estimated coefficient values

Many thanks and yes. Just not sure how to specify the equation in this case, similar to your example below for eq2. "Suppose in a regression of y on a constant and x you want to restrict the coefficient estimate on x to be between -1 and 1. You can use the following logit transformation if you ...
by ffm
Thu May 03, 2012 2:25 am
Forum: Estimation
Topic: Putting limits on estimated coefficient values
Replies: 38
Views: 39836

Re: Putting limits on estimated coefficient values

Hi Regarding the "Mixed equality and inequality" constraint topic: "A commonly encountered mixed type of restriction is to have all parameters non-negative and sum up to one ai > 0 and a1 + a2 + ... + ak = 1 A reparameterization that satisfies these constraints is ai = exp( bi ) / ( e...

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