On Sat, 16 Aug 2008, Nelson Villoria wrote:
Dear R experts:
Is there any package that estimates Restricted Least Squares?
Specifically, If I want to fit:
G = b0 + b1(Y) + a1(X1) + a2(X2) + a3(X3) + a4(X4)
where Y, X1 to X4 are variables and b's and a's parameters to be estimated.
I want to impose a1 + a2 + a3 + a4 = 0.
You don't need a package to do that, just re-parametrize. It is
G ~ Y + I(X1-X4) + I(X2-X4) + I(X3-X4)
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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