Dear list members,
I need to fit a regression with two inequality constraints. I look up in
the literature and R archive and found some ways to do it, for example
using the ic.infer package.
However I do not know how to write in R my constraints. In the package
help, it is told that I have to create the restriction matrix ui.
Can someone help me to code the matrix?
In short I run the regression:Return=alpha + beta*benchmark(i) + u
My goal is to find the constrained alpha with the following two restrictions:
alpha + (beta -1)Rfmin* <=0
alpha + (beta -1)Rfmax* <=0
*To facilitate the code I will find the value of Rfmin and Rfmax separately so
I will have a vector (Rfmin, Rfmax)' directly available.
Anyone know how I can code the matrix ui representing the above restrictions,
so I can fit the constrained regression?
Thanks for your help,
seb
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