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Constrained Regression with Intercept in pcls

Philipp 
Dear all,

I already asked about to run a constrained regression like y=b0 +
b1X1+b2x2+b3x3, with constraints:

b1+b2+b3=1 and b1,b2,b3>=0. I thought it will run with style.QPfit with the
performance Analytic packages.

However the style.QPfit function does not estimate an intercept. As i really
can not extend this function for my problem, I noticed pcls. Pcls is maybe
an alternative for my problem. Can somebody help me to implement the
constraints in pcls. Maybe it can be done by designing a designed matrix X
with extra column for the inercept (b0) and to force C in a way. But how I
do not know.

Your help is greatly appreciated

Philipp

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Thread (6 messages)

Philipp Constrained Regression with Intercept in pcls Dec 1 Enrico Schumann Constrained Regression with Intercept in pcls Dec 1 thomas.chan.sf at boci-pru.com.hk Constrained Regression with Intercept in pcls Dec 1 Philipp Constrained Regression with Intercept in pcls Dec 5 Philipp Constrained Regression with Intercept in pcls Dec 5 Philipp Constrained Regression with Intercept in pcls Dec 16