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
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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
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
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
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
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
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