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Math Help - STATA - Placing a Constraint on a Constant

  1. #1
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    STATA - Placing a Constraint on a Constant

    I am running several iterations of a system of related equations. The first is four separate OLS equations estimating:

    reg E_share lnp_cap lnp_lab lnp_energy lnp_mat
    reg K_share lnp_cap lnp_lab lnp_energy lnp_mat
    reg L_share lnp_cap lnp_lab lnp_energy lnp_mat
    reg M_share lnp_cap lnp_lab lnp_energy lnp_mat

    The second is a SUR regression of three of the four equations (the fourth is implicit):

    sureg (eq1: E_share lnp_cap lnp_lab lnp_energy lnp_mat) (eq2: K_share lnp_cap lnp_lab lnp_energy lnp_mat) (eq3: L_share lnp_cap lnp_lab lnp_energy lnp_mat)

    Finally, I would like to run a SUR regression as above, but with a constraint that the constants terms for all four equations sum to 1. I'm not sure what the syntax for this constraint is, as the variables I am imposing the constraint on are parameters and not actual variables in my data, and was wondering if someone has an idea of how to proceed. Thanks!
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  2. #2
    MHF Contributor
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    This is a wild guess, so sorry if its unhelpful


    Make up a new variable x_const with value 1 everywhere. Then run your SUR as before, but add x_const as a depvar to each equation.

    Make sure you run with the noconstant option enabled. The constant in the new equations will be the "slope paramter" of the x_const variable.

    This means the slope coefficient on the x_const variable will behave in the same way as the intercept term from your old equation. I think You can use constraints on that slope parameter in the 4 equations to get the output you want.

    The constraint you want would be something like:
    [E_share]x_const + [K_share]x_const +[L_share]x_const+[M_share]x_const = 1



    An example of a sureg with constaints is here
    Stata 11 help for estimation options
    Last edited by SpringFan25; May 30th 2010 at 02:29 PM.
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