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)/(1c(2))) ?
Thank you.
acemi
Putting limits on estimated coefficient values
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 Posts: 12462
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Re: Putting limits on estimated coefficient values
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 ?
1/(1+exp(x))) = exp(x)/(1+exp(x))
c(2) has no relation whatsoever with the expression on LHS..
can elaborate please ?

 Nonnormality and collinearity are NOT problems!
 Posts: 3551
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
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))))
Re: Putting limits on estimated coefficient values
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
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

 Nonnormality and collinearity are NOT problems!
 Posts: 3551
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
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)).
Re: Putting limits on estimated coefficient values
Hello,
Is there a way to restrict the parameter c(2) in eviews9 ?Thank you!
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)).

 Nonnormality and collinearity are NOT problems!
 Posts: 3551
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Putting limits on estimated coefficient values
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)).

 Posts: 52
 Joined: Mon Nov 18, 2013 9:09 am
Re: Putting limits on estimated coefficient values
Hi,
I am doing the reparameterization shown in this forum to coinstraint my coefficients.
CODE: SELECT ALL
A reparameterization that satisfies these constraints is
CODE: SELECT ALL
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
Please help!
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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