## 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

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

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

### 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 ?

startz
Non-normality and collinearity are NOT problems!
Posts: 3699
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))))

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

### 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

startz
Non-normality and collinearity are NOT problems!
Posts: 3699
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)).

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

### Re: Putting limits on estimated coefficient values

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: 3699
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)).

rmoralesaramburu
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

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*wmvolendsubvector(6) vdumvdum=1scalar z1optimize(min) optivol(z1,vdum,mcov)`

Please help!

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