[R] Restricted Least Squares
Philippe Grosjean
phgrosje at ulb.ac.be
Tue Apr 9 10:22:48 CEST 2002
> Hi,
> I need help regarding estimating a linear model where restrictions are
imposed on the coefficients. An example is as follows:
> Y_{t+2}=a1Y_{t+1} + a2 Y_t + b x_t + e_t
> restriction
> a1+ a2 =1
> Is there a function or a package that can estimate the coefficient of a
model like this? I want to estimate the coefficients rather than test them.
> Thank you for your help
> Ahmad Abu Hammour
You don't need something special. Just consider that
a2 = 1 - a1 and replace it in your equation, which gives:
Y_{t+2}=a1Y_{t+1} + (1 - a1) Y_t + b x_t + e_t
Best,
Philippe Grosjean
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