sysuse auto, clear mata: void i_crit(todo,b,crit,g,H) { external y,X,W m=X'(y-X*b') crit=(m'*W*m) } y = st_data(., "price") cons=J(rows(y),1,1) X = st_data(., "weight length"), cons W=cholinv(X'X) init=J(1,cols(X),0) S=optimize_init() // build the constraint matrix C = (1, 0, 0) c = (0) Cc = (C, c) optimize_init_constraints(S,Cc) optimize_init_evaluator(S, &i_crit()) optimize_init_which(S,"min") optimize_init_evaluatortype(S,"d0") optimize_init_params(S,init) p=optimize(S) p end constraint 1 weight = 0 cnsreg price weight length, constraints(1)Would it be difficult to add constrained regression -asreg- ?
Add constrained regression to asreg
I found this online.