Constrained linear regression
Sounds like it is or could be considered a mixtures problem. Check out the FlexMix package, which looks like it should do exactly what you want. (But maybe not, so look carefully). -- Bert
On Sat, Nov 26, 2011 at 6:10 AM, Julia Lira <julia.lira at hotmail.co.uk> wrote:
Dear all, I need to run a simple linear regression such that: y = b0 + b1*x1 + (1-b1)*x2 + e which I know I can use: lm(y ~ I(x1 - x2) + offset(x2)). However, I also need to restrict the coefficient b1 to be between 0 and 1. Is there any way to include such restriction in the linear regression estimation? I saw suggestion related with the function Solve.QP, but I really did not understand such method. Thanks in advance, Julia ? ? ? ?[[alternative HTML version deleted]]
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