[R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread JW
Please advice on the package I should use to run a linear regression model (weighted least squared) with linear equality constraint. I initially tried constrOptim but it turned out that it only supported inequality linear constraint. Thank you very much in advance. Cheers, Jon -- View this

Re: [R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread Kristian Lind
I believe the package systemfit can help you with that. Haven't tried it myself, but give it a go. Regards, Kristian 2011/10/31 JW j...@phatrasecurities.com Please advice on the package I should use to run a linear regression model (weighted least squared) with linear equality constraint. I

Re: [R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread Bert Gunter
Well, if I understand the question correctly (following the posting guide would have spared guessing, as usual), forget packages -- nothing more than elementary algebra is needed. e.g. lm(y ~ x1 + x2 + x3) subject to the constraint beta_2 = beta_3, the coefficients of x2 and x3, is the same as

Re: [R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread Comcast
On Oct 31, 2011, at 3:31 PM, Bert Gunter gunter.ber...@gene.com wrote: Well, if I understand the question correctly (following the posting guide would have spared guessing, as usual), forget packages -- nothing more than elementary algebra is needed. e.g. lm(y ~ x1 + x2 + x3) subject

Re: [R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread Comcast
On Oct 31, 2011, at 5:12 PM, Comcast dwinsem...@comcast.net wrote: On Oct 31, 2011, at 3:31 PM, Bert Gunter gunter.ber...@gene.com wrote: Well, if I understand the question correctly (following the posting guide would have spared guessing, as usual), forget packages -- nothing more

Re: [R] Linear Regression with Linear Equality Constraint

2011-10-31 Thread Mehmet Suzen
Regression with Linear Equality Constraint Please advice on the package I should use to run a linear regression model (weighted least squared) with linear equality constraint. I initially tried constrOptim but it turned out that it only supported inequality linear constraint. Thank you very much