[R] Restricted Least Squares

[Philippe Grosjean]

 > 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



...........]<(({°<...............<°}))><...............................
 ) ) ) ) )       __                      __
( ( ( ( (       |__)                    |  _
 ) ) ) ) )      |   hilippe             |__)rosjean
( ( ( ( (       Marine Biol. Lab., ULB, Belgium
 ) ) ) ) )                               __
( ( ( ( (       |\  /|                  |__)
 ) ) ) ) )      | \/ |ariculture &      |__)iostatistics
( ( ( ( (
 ) ) ) ) )      e-mail: phgrosje at ulb.ac.be or phgrosjean at sciviews.org
( ( ( ( (       SciViews project coordinator (http://www.sciviews.org)
 ) ) ) ) )      tel: 00-32-2-650.29.70 (lab), 00-32-2-673.31.33 (home)
( ( ( ( (
 ) ) ) ) )      "I'm 100% confident that p is between 0 and 1"
( ( ( ( (                                  L. Gonick & W. Smith (1993)
 ) ) ) ) )
.......................................................................


-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._