Hi,
So, I have been trying to figure this out. I know it's possible to impose restrictions on the coefficients of the independent variables. But, is there any way to have a constraint on the dependent variables of a model of equations, in which all the dependent variables must sum up to 1 by construct?
Thanks!
Restricting the dependent variable
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Re: Restricting the dependent variable
This makes very little sense. Can you explain what you mean in more detail?
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Re: Restricting the dependent variable
I've a set of ratios that sums up to 1 in history. I would like to forecast them ahead of time. But, how do I ensure that these forecast ratios in the model sums up to 1 and remain positive? Is there an estimation method I can use or an identity I can append to my model?
Currently, I am using a least square estimation to forecast ahead.
I know I am able to restrict coefficients on independent variables. But, I don't know if the same thing works for forecasts/dependent variables.
Thanks!
Currently, I am using a least square estimation to forecast ahead.
I know I am able to restrict coefficients on independent variables. But, I don't know if the same thing works for forecasts/dependent variables.
Thanks!
Re: Restricting the dependent variable
Perhaps logit-type specifications could work:
fraction_i=exp(x_i*beta_i)/exp(sum_i x_i*beta_i)
/K
fraction_i=exp(x_i*beta_i)/exp(sum_i x_i*beta_i)
/K
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