Date: Wed, 13 Oct 1999 17:54:05 GMT
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
Subject: Re: Constrained Max.Likelihood in SAS.
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Depends on what sort of constraints. If you are estimating a multi equation
system, in which you
are imposing cross equation constraints, yes, you can write your system
explicitly and use
FIML in SAS. I think PROC MODEL. is where to look.
Suppose you are estimating two investment equations one for company 1,
and another for company 2.
you equations will be I1 = a1 + b networth.
I2 = a 2 + b
I have explicitly written my equations such that the
coefficient on networth is b in both cases.
This is what I mean by writing the constraints explicitly
into the equations.
Having done that I think there is a command called
Similarly in thecase of nonlinear estimation,,
I suggest you look into SAS/ETS. My ETS manuals are not with me at
this moment, otherwise I
could have given you the syntax..
I think there is an example of estimating the Cobb-Douglas
production function where
the paramers on two inputs are constrained to equal to 1. If one
coefficient is alfa the other
is 1- alfa .. And you give initial values.
But, I am not sure how you can put constraints in an ARIMA model. ARIMA
models are in general
I hope this will give an initial start.
best of luck