The RATS Software Forum

Dear Tom,
Thank you very much for your wonderful help so far.

I have another problem now. I have to find how to run a linear regression with interval restrictions on coefficients.

1. In case 1 I have written a code restricted the coefficient to be a certain value.

linreg(robusterrors, define=case4) DEPENDENT sambeg samend residModXLG4_11 coefModXLG4_11
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR

restrict(create, define=eq1) 10 residModXLG4b_11
#1
#1 alpha
#2
#1 beta1
#3
#1 beta2
#4
#1 beta3
#5
#1 beta4
#6
#1 beta5
#7
#1 beta6
#8
#1 beta7
#9
#1 beta8
#10
#1 beta9

Alpha and betas are taken from the previous regression:

linreg(robusterrors) DEPENDENT sambeg samend residModXLG4_1 coefModXLG4_1
# constant YOY%_SP500{1}

compute alpha1 = %beta(1), beta1 = %beta(2)
dis 'alpha1= ' alpha1 'beta1= ' beta1





linreg(robusterrors) residModXLG4_1 sambeg samend residModXLG4_2 coefModXLG4_2
# constant BAA{2}
compute alpha2 = %beta(1), beta2 = %beta(2)
dis 'alpha2 = ' alpha2 'beta2 = ' beta2

linreg(robusterrors) residModXLG4_2 sambeg samend residModXLG4_3 coefModXLG4_3
# constant YOY%_OIL{2}
compute alpha3 = %beta(1), beta3 = %beta(2)
dis 'alpha3= ' alpha3 'beta3= ' beta3

linreg(robusterrors) residModXLG4_3 sambeg samend residModXLG4_4 coefModXLG4_4
# constant YOY%_CPI
compute alpha4 = %beta(1), beta4 = %beta(2)
dis 'alpha4= ' alpha4 'beta4= ' beta4

linreg(robusterrors) residModXLG4_4 sambeg samend residModXLG4_5 coefModXLG4_5
# constant TR10Y{1}
compute alpha5 = %beta(1), beta5 = %beta(2)
dis 'alpha5= ' alpha5 'beta5= ' beta5

linreg(robusterrors) residModXLG4_5 sambeg samend residModXLG4_6 coefModXLG4_6
# constant YOY%_HPI{1}
compute alpha6 = %beta(1), beta6 = %beta(2)
dis 'alpha6= ' alpha6 'beta6= ' beta6


linreg(robusterrors) residModXLG4_6 sambeg samend residModXLG4_7 coefModXLG4_7
# constant TR3M
compute alpha7 = %beta(1), beta7 = %beta(2)
dis 'alpha7= ' alpha7 'beta7= ' beta7


linreg(robusterrors) residModXLG4_7 sambeg samend residModXLG4_8 coefModXLG4_8
# constant YOY%_CRE
compute alpha8 = %beta(1), beta8 = %beta(2)
dis 'alpha8= ' alpha8 'beta8= ' beta8


linreg(robusterrors) residModXLG4_8 sambeg samend residModXLG4_9 coefModXLG4_9
# constant UR
compute alpha9 = %beta(1), beta9 = %beta(2)
dis 'alpha9 = ' alpha9 'beta9 = ' beta9


But how how to restrict,say, constant to be positive and fall between 5 and 10.

Thank you very much.

Yelena

1. Use NLLS with a PARMSET with constraints, or
2. Run the regression. If the intercept is in your interval, you're fine. If it's less than 5, restrict to 5. if it's bigger than 10, restrict to 10.

It works now. Thank you, Tom, so much!