placing restrictions on coefficients sum to one

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Sanjana.R
Posts: 2
Joined: Thu Oct 24, 2013 12:01 pm

placing restrictions on coefficients sum to one

Postby Sanjana.R » Thu Oct 24, 2013 12:23 pm

Hi there,

I am quite new to eviews and I have been trying to estimate a model for my thesis. This model is a PHillips Curve model and I want to put restrictions on previous π_t sum to one.


For more clarification I am posting ym model here.#

π_t=1/4 ( π_(t-1)+π_(t-2)+π_(t-3)+π_(t-4) )+α(u-u*)t+ε_t

where π_t is annualized quarterly inflation rate
1/4 ( π_(t-1)+π_(t-2)+π_(t-3)+π_(t-4) is expected inflation ( expected inflation being an average og past four quarters )


I want my restriction to be that the coefficient of expected inflation to be sum to 1.


Can someone please help me how I command eviews to do this for me! Thank you

startz
Non-normality and collinearity are NOT problems!
Posts: 3371
Joined: Wed Sep 17, 2008 2:25 pm

Re: placing restrictions on coefficients sum to one

Postby startz » Thu Oct 24, 2013 12:46 pm

Code: Select all

ls pi=c(1) + c(2)*pi(-1) + c(3)*pi(-2) + c(4)*pi(-3) + (1-c(2)-c(3)-c(4))*pi(-4)

Sanjana.R
Posts: 2
Joined: Thu Oct 24, 2013 12:01 pm

Re: placing restrictions on coefficients sum to one

Postby Sanjana.R » Sat Oct 26, 2013 10:42 am

but how does that work?

Can I assumer the first set of pi-s to be a simple moving average model based on past four quarters? and then do the regression?

Giansonn
Posts: 1
Joined: Sat Mar 17, 2018 5:19 am

Re: placing restrictions on coefficients sum to one

Postby Giansonn » Sun Mar 18, 2018 9:38 am

Yes and how can we obtain the coefficient and s.e. of the coefficient thats missing?

startz
Non-normality and collinearity are NOT problems!
Posts: 3371
Joined: Wed Sep 17, 2008 2:25 pm

Re: placing restrictions on coefficients sum to one

Postby startz » Sun Mar 18, 2018 10:06 am

Do a Wald test on 1-c(2)-c(3)-c(4)=0


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