Constrained least square and optimization
Posted: Tue Oct 27, 2015 2:38 pm
Hello,
I have EViews 9. I would have 2 questions about constrained least square estimation:
1. Let's say I want to estimate the equation Y=Beta_0 + Beta_1*X+res
I would like to know if there is a way to impose the estimation of Betas under the constraint of non negative Y (ie: Y>0) in the fitting process (without taking Log of Y). Even looking at the optimize function, I didn't find a way to do it.
2. Assuming that I estimated an equation Y_hat=Beta_0_hat+Beta_1_hat*X
I would like to reparametrize the equation using the following constrained optimization: (see image attached) where Y_hat denotes the dependent variable estimated above and Y_tilde is the closest possible approximation subject to the constraint of positive Y_tilde.
In a nutshell, I want to minimize an objective function subject to an additional constraint.
How can I do this in EViews ?
Many thanks for your answers,
Regards,
Roman
I have EViews 9. I would have 2 questions about constrained least square estimation:
1. Let's say I want to estimate the equation Y=Beta_0 + Beta_1*X+res
I would like to know if there is a way to impose the estimation of Betas under the constraint of non negative Y (ie: Y>0) in the fitting process (without taking Log of Y). Even looking at the optimize function, I didn't find a way to do it.
2. Assuming that I estimated an equation Y_hat=Beta_0_hat+Beta_1_hat*X
I would like to reparametrize the equation using the following constrained optimization: (see image attached) where Y_hat denotes the dependent variable estimated above and Y_tilde is the closest possible approximation subject to the constraint of positive Y_tilde.
In a nutshell, I want to minimize an objective function subject to an additional constraint.
How can I do this in EViews ?
Many thanks for your answers,
Regards,
Roman