Quantcast

cnsreg-Constrained Weighted OLS

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

cnsreg-Constrained Weighted OLS

Martin
This post has NOT been accepted by the mailing list yet.
Dear all,

I have following problem. I try to run a regresion like this:

y=b0 + b1*w1*x1+b2*w2*x2 +b3*w3*x3+b4*w4*x4

b0=intercept, b1,b2,b3,b4 Regressors w(i) Weights of the Variable X(i). In my problem these w are market values of a country and x are Dummies (if y=stock return is of this country). So because of multicolinearity I have to put 2 constraints:

(1) w1*b1+w2*b2=0
(2) w3*b3+w4*b4=0

Is there a solution with cnsreg possible. I tried but i am not so trained and a little bit desperate.
Your help is greatly advanced

kind regards

Martin
Loading...