Putting limits on estimated coefficient values

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acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Putting limits on estimated coefficient values

Postby acemi » Thu May 04, 2017 4:46 am

Hello,
I did a logit transformation and want to manually calculate untransformed coefficient value.
I want to verify does @logit(c(2)) = LN(c(2)/(1-c(2))) ?
Thank you.
acemi

EViews Gareth
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Re: Putting limits on estimated coefficient values

Postby EViews Gareth » Thu May 04, 2017 7:38 am

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acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Putting limits on estimated coefficient values

Postby acemi » Thu May 04, 2017 7:45 am

I had looked at the explanation of special functions>logit transformation explanation but cannot map it to how it transforms my c(2).

1/(1+exp(-x))) = exp(x)/(1+exp(x))

c(2) has no relation whatsoever with the expression on LHS..

can elaborate please ?

startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: Putting limits on estimated coefficient values

Postby startz » Thu May 04, 2017 8:04 am

acemi wrote:I had looked at the explanation of special functions>logit transformation explanation but cannot map it to how it transforms my c(2).

1/(1+exp(-x))) = exp(x)/(1+exp(x))

c(2) has no relation whatsoever with the expression on LHS..

can elaborate please ?

You get 1/(1+exp(-c(2))))

acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Putting limits on estimated coefficient values

Postby acemi » Thu May 04, 2017 1:54 pm

Thank you!

The whole purpose for @logit transformation is to impose/force limits for c(2). For the @logit(c(2)) conversion, the NLS estimation of c(2) is 3,475962 which is clearly not within intended range limits of 0<c(2)<1. So in order to obtain value for @logit(c(2)), substitute this value in 1/(1+exp(-3,475962)) = 0,969996 which is between intended limits. But is it OK to conclude that I have constrained c(2) in this case ?

acemi

startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: Putting limits on estimated coefficient values

Postby startz » Thu May 04, 2017 2:38 pm

acemi wrote:Thank you!

The whole purpose for @logit transformation is to impose/force limits for c(2). For the @logit(c(2)) conversion, the NLS estimation of c(2) is 3,475962 which is clearly not within intended range limits of 0<c(2)<1. So in order to obtain value for @logit(c(2)), substitute this value in 1/(1+exp(-3,475962)) = 0,969996 which is between intended limits. But is it OK to conclude that I have constrained c(2) in this case ?

acemi


In most cases like this people want the coefficient to between 0 and 1, not specifically the parameter c(2). As you say, using @logit does this. So think of the coefficient as being the value of @logit(c(2)).

acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Putting limits on estimated coefficient values

Postby acemi » Fri May 12, 2017 2:06 pm

Hello,

Is there a way to restrict the parameter c(2) in eviews9 ?Thank you!

startz wrote:
acemi wrote:The whole purpose for @logit transformation is to impose/force limits for c(2). For the @logit(c(2)) conversion, the NLS estimation of c(2) is 3,475962 which is clearly not within intended range limits of 0<c(2)<1. So in order to obtain value for @logit(c(2)), substitute this value in 1/(1+exp(-3,475962)) = 0,969996 which is between intended limits. But is it OK to conclude that I have constrained c(2) in this case ?

acemi


In most cases like this people want the coefficient to between 0 and 1, not specifically the parameter c(2). As you say, using @logit does this. So think of the coefficient as being the value of @logit(c(2)).

startz
Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: Putting limits on estimated coefficient values

Postby startz » Fri May 12, 2017 2:09 pm

The answer is that same as for earlier versions. You cannot restrict c(2) per se, but generally that's not what's desired. Instead, replace every appearance of c(2) with @logit(c(2)).

rmoralesaramburu
Posts: 52
Joined: Mon Nov 18, 2013 9:09 am

Re: Putting limits on estimated coefficient values

Postby rmoralesaramburu » Tue Jul 02, 2019 1:46 pm

Hi,

I am doing the reparameterization shown in this forum to coinstraint my coefficients.

CODE: SELECT ALL

Code: Select all

[list]ai > 0 and a1 + a2 + ... + ak = 1[/list]


A reparameterization that satisfies these constraints is

CODE: SELECT ALL

Code: Select all

ai = exp( bi ) / ( exp( b1 ) + exp( b2 ) + ... + exp( bk ) )



I am having an error with my code and I don´t know why. The error is:

Maximum number of iterations exceeded in "OPTIMIZE(MIN)
OPTIVOL(Z1,VDUM,MCOV)" on line 1.

My code is

Code: Select all

subroutine optivol(scalar !scmvol, vector vdum, matrix mmcov)
   scalar sc1=@csum(vdum)
   vector(6) wmvol

      wmvol(1)=exp(vdum(1))/exp(sc1)
      wmvol(2)=exp(vdum(2))/exp(sc1)
      wmvol(3)=exp(vdum(3))/exp(sc1)
      wmvol(4)=exp(vdum(4))/exp(sc1)
      wmvol(5)=exp(vdum(5))/exp(sc1)
      wmvol(6)=exp(vdum(6))/exp(sc1)

   !scmvol=@transpose(wmvol)*mmcov*wmvol
endsub


vector(6) vdum
vdum=1
scalar z1
optimize(min) optivol(z1,vdum,mcov)



Please help!


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