Hi,
I have a problem with Eviews to which I can't seem to find the answer in the help files.
I have the following OLS equation set up:
eq1.ls Y = c(1) + c(2)*A + c(3)*B + c(4)*D + c(5)*E + c(6)*F
Now I want to run this regression on my data, however with a constraint that c(2)+c(4)+c(5)+c(6) = 1.
How can I process this constraint?
Any help is much appreciated, thanks.
Thijs
OLS Regression with restraints on coeffcients
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Re: OLS Regression with restraints on coeffcients
thijs wrote:Hi,
I have a problem with Eviews to which I can't seem to find the answer in the help files.
I have the following OLS equation set up:
eq1.ls Y = c(1) + c(2)*A + c(3)*B + c(4)*D + c(5)*E + c(6)*F
Now I want to run this regression on my data, however with a constraint that c(2)+c(4)+c(5)+c(6) = 1.
How can I process this constraint?
Any help is much appreciated, thanks.
Thijs
EViews does not perform constrained regression. However, for linear constraints you can always impose the constraint by substitution. For example
Code: Select all
eq1.ls Y = c(1) + c(2)*A + c(3)*B + c(4)*D + c(5)*E + (1-c(2)-c(3)-c(4)-c(5))*F
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