Putting limits on estimated coefficient values
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Re: Putting limits on estimated coefficient values
I’m currently trying to estimate a model on panel data that should look like
y = c(1) + c(2)*x + c(3)*(composite)
with composite being the "best" weighted average of 4 indicators (a, b, d, e). Thus, compo should be of the form
compo = c(4)*a + c(5)*b + c(6)*d +c(7)*e
with 0 < c(4), c(5), c(6), c(7) < 1 and c(4)+c(5)+c(6)+c(7) = 1
I’ve looked at the above but it does not seem to work, results are quite strange… Any idea ?
y = c(1) + c(2)*x + c(3)*(composite)
with composite being the "best" weighted average of 4 indicators (a, b, d, e). Thus, compo should be of the form
compo = c(4)*a + c(5)*b + c(6)*d +c(7)*e
with 0 < c(4), c(5), c(6), c(7) < 1 and c(4)+c(5)+c(6)+c(7) = 1
I’ve looked at the above but it does not seem to work, results are quite strange… Any idea ?
Re: Putting limits on estimated coefficient values
Hallo,
I have tried to use the logistic transformation, i.e. (HL)*@logit(c(1)) + L, to estimate a twosided restricted parameter within a State Space framework, but I always get the same error message "WARNING: Singular covariance  coefficients are not unique". More specifically
{%model}_ss.add @STATE sv1 = sv1(1)+ (0.4*@logit({%theta1})+0.3)*d(ltu)+[VAR = {%varstate}]
where H=0.7, L=0.3 and %varstate is equal to an assigned specific value.
The same error message is produced also in case of the onesided restriction transformation (0.7exp({%theta1}))*d(ltu). It is not necessarily linked to the weakness of SS models to treat nonlinearities because both the logistic and the exponential transformations can be correctly solved. Hence, I was wondering what is the reason and the solution.
Thanks in advance.
I have tried to use the logistic transformation, i.e. (HL)*@logit(c(1)) + L, to estimate a twosided restricted parameter within a State Space framework, but I always get the same error message "WARNING: Singular covariance  coefficients are not unique". More specifically
{%model}_ss.add @STATE sv1 = sv1(1)+ (0.4*@logit({%theta1})+0.3)*d(ltu)+[VAR = {%varstate}]
where H=0.7, L=0.3 and %varstate is equal to an assigned specific value.
The same error message is produced also in case of the onesided restriction transformation (0.7exp({%theta1}))*d(ltu). It is not necessarily linked to the weakness of SS models to treat nonlinearities because both the logistic and the exponential transformations can be correctly solved. Hence, I was wondering what is the reason and the solution.
Thanks in advance.
Re: Putting limits on estimated coefficient values
ele wrote:I was wondering what is the reason and the solution.
Hard to say without seeing the workfile. But you should consider the possibility that data strongly disagrees with your constraint.
Re: Putting limits on estimated coefficient values
HI All,
I would like to put a restriction on one of the coefficients that it is equal to 1.
So Y1 = a + b Y2 + c X2 where b=1.
But what I was wondering is, if I run the regression
Y1Y2 = a + c X2
Does this regression above impose the restriction that b=1?  Im pretty sure it does, but it would be great if I could get some confirmation.
Cheers,
Andrew.
I would like to put a restriction on one of the coefficients that it is equal to 1.
So Y1 = a + b Y2 + c X2 where b=1.
But what I was wondering is, if I run the regression
Y1Y2 = a + c X2
Does this regression above impose the restriction that b=1?  Im pretty sure it does, but it would be great if I could get some confirmation.
Cheers,
Andrew.

 Nonnormality and collinearity are NOT problems!
 Posts: 3491
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Re: Putting limits on estimated coefficient values
You got it right.

 Posts: 40
 Joined: Wed Sep 17, 2014 12:23 pm
Re: Putting limits on estimated coefficient values
Hi All,
Is it possible to force c(1) = 1 in the following equation, and how could one do it?
Y = c(1)*Y(1)*(X/X(1))
Thanks!
Is it possible to force c(1) = 1 in the following equation, and how could one do it?
Y = c(1)*Y(1)*(X/X(1))
Thanks!

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Re: Putting limits on estimated coefficient values
If you do that there is nothing left to estimate...
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Re: Putting limits on estimated coefficient values
Right. But if I do the following,
sample large 2014q2 2024q2
smpl large
series X = (@pch(Y)+1)*X(1)
it performs the calculation for the first time period. How do I get it to perform this calculation for all other periods?
Thank you so much!
sample large 2014q2 2024q2
smpl large
series X = (@pch(Y)+1)*X(1)
it performs the calculation for the first time period. How do I get it to perform this calculation for all other periods?
Thank you so much!

 Nonnormality and collinearity are NOT problems!
 Posts: 3491
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
If you are generating the variable Y, rather than running an estimate, try
taking some care about the sample to avoid NAs from being propagated.
Code: Select all
series Y = c(1)*Y(1)*(X/X(1))
taking some care about the sample to avoid NAs from being propagated.

 Posts: 40
 Joined: Wed Sep 17, 2014 12:23 pm
Re: Putting limits on estimated coefficient values
Oh yes, thank you!

 Posts: 40
 Joined: Wed Sep 17, 2014 12:23 pm
Re: Putting limits on estimated coefficient values
Hi, this still doesn't work for some reason. Please help!
I am trying to do something simple. I have quarterly series, call it X, for period 2014q1 to 2018q4. I would like to make series Y by using series X's percent change. I only have one observation on Y, 2014q1.
I set my sample to 2014q1  2018q4.
If I try to do this
series y = (x/x(1))*y(1), I get only one value for y for 2014q2, the rest is NA. The same happens when I use 'genr' instead of 'series'.
What am I doing wrong?
Thanks so much!
I am trying to do something simple. I have quarterly series, call it X, for period 2014q1 to 2018q4. I would like to make series Y by using series X's percent change. I only have one observation on Y, 2014q1.
I set my sample to 2014q1  2018q4.
If I try to do this
series y = (x/x(1))*y(1), I get only one value for y for 2014q2, the rest is NA. The same happens when I use 'genr' instead of 'series'.
What am I doing wrong?
Thanks so much!

 Nonnormality and collinearity are NOT problems!
 Posts: 3491
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
You may want to post your workfile.

 Posts: 40
 Joined: Wed Sep 17, 2014 12:23 pm
Re: Putting limits on estimated coefficient values
Thank you so much! Here is the workfile.
 Attachments

 example.wf1
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 Nonnormality and collinearity are NOT problems!
 Posts: 3491
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
set your sample to
Code: Select all
smpl 2014q2 2018q1

 Posts: 40
 Joined: Wed Sep 17, 2014 12:23 pm
Re: Putting limits on estimated coefficient values
Oh, I can't thank you enough! That worked. Thanks, again.
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