[R-SIG-Finance] Help on constrained regression

R_help Help rhelpacc at gmail.com
Tue Jun 30 05:18:32 CEST 2009


I have an AR(1) model

y[t] = ay[t-1]+b+epsilon

I'm trying to force a to be positive. So I did the constrained
regression with constraints 0 < a < 1. I used pcls in package mgcv.
However, I found that the solution is not so stable. Most of my lag 1
autocorrelation is negative. Forcing a to positive value makes the
optimizer to stick a to the boundary value. All it does is varying b.
I there anyway to solve this problem? I think the problem might be due
to my initial value is not a smart choice.

Thank you.


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