Linear Regression with Linear Equality Constraint
On Oct 31, 2011, at 5:12 PM, Comcast <dwinsemius at comcast.net> wrote:
On Oct 31, 2011, at 3:31 PM, Bert Gunter <gunter.berton at 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 to the constraint beta_2 = beta_3, the coefficients of x2 and x3, is the same as lm (y ~ x1 + z) where z = x3 + x3 (sum of the 2 covariate vectors).
I would have expected to divide the beta_z by 2 to get the beta2 = beta3. Did I over-think this?
I think I underthunk it. Y ~ beta1*X1 + beta1*X2 = beta1*( X1+X2)
David. > > -- > David >> etc. etc. ... ??? >> >> -- Bert >> >> On Mon, Oct 31, 2011 at 12:16 PM, Kristian Lind < >> kristian.langgaard.lind at gmail.com> wrote: >> >>> 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 <jon at phatrasecurities.com> >>> >>>> 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 >>>> >>>> -- >>>> View this message in context: >>>> >>> http://r.789695.n4.nabble.com/Linear-Regression-with-Linear-Equality-Constraint-tp3956588p3956588.html >>>> Sent from the R help mailing list archive at Nabble.com. >>>> >>>> ______________________________________________ >>>> R-help at r-project.org mailing list >>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>> PLEASE do read the posting guide >>>> http://www.R-project.org/posting-guide.html >>>> and provide commented, minimal, self-contained, reproducible code. >>>> >>> >>> [[alternative HTML version deleted]] >>> >>> ______________________________________________ >>> R-help at r-project.org mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >>> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >> >> >> >> -- >> >> Bert Gunter >> Genentech Nonclinical Biostatistics >> >> Internal Contact Info: >> Phone: 467-7374 >> Website: >> http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> R-help at r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.