[R-SIG-Finance] CONSTRAINED REGRESSIONS
weigel.eric1 at gmail.com
Sat Aug 15 21:00:51 CEST 2015
I wish to run a regression where the slope coefficients are bound between
0 and 1, the sum of the slope coefficients sums to 1 and there is an
intercept (no bounds). Specifically I wish to run a Heston/Rouwenhorst type
of regression using country and sector dummies.
Is there a procedure in R that can run such a constrained regression?
Thanks for your help.
*Eric J. Weigel*
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