I need m(theta) > 0 where m() is a linear function of theta.  While the
reparameterization is a creative workaround for a parameter constraint,I do
not believe I can apply it here.  Other thoughts?

David J. Moore, Ph.D.
Visiting Assistant Professor of Finance
The University of Memphis


On Jul 18, 2009, at 2:04 PM, Liviu Andronic <landronimirc@gmail.com> wrote:

 From: Eric Zivot <ezivot@u.washington.edu>
> Date: Sat, Jul 18, 2009 at 8:08 PM
> Subject: Re: [R-SIG-Finance] Inequality constraints in GMM estimation?
> To: Liviu Andronic <landronimirc@gmail.com>
>
>
> Not sure your inequality constraint makes sense. Do you want theta > 0
> or m(theta) > 0
>
> Usually, inequality constraints are put on parameters. If you want to
> constrain theta > 0 then just re-parameterize theta as theta =
> exp(gamma) and optimize over gamma. You will need to use delta method
> to get the correct std errors for theta.hat = exp(gamma.hat).
>
> ****************************************************************
> *  Eric Zivot                                                  *
> *  Professor and Gary Waterman Distinguished Scholar           *
> *  Department of Economics                                     *
> *  Adjunct Professor of Finance                                *
> *  Adjunct Professor of Statistics
> *  Box 353330                  email:  ezivot@u.washington.edu *
> *  University of Washington    phone:  206-543-6715            *
> *  Seattle, WA 98195-3330                                      *
>                                                   *
> *  www:  http://faculty.washington.edu/ezivot                  *
> ****************************************************************
>
> On Sat, 18 Jul 2009, Liviu Andronic wrote:
>
>  Hello,
>>
>> On Sat, Jul 18, 2009 at 4:58 AM, David J. Moore, Ph.D.<djmphd@gmail.com>
>> wrote:
>>
>>>
>>> I have a relatively simple finance application of GMM. Given the moment
>>> condition:
>>> E[m*R]=0
>>>
>>> where m=m[theta]
>>>
>>> I would like to constrain m>0. Any ideas?
>>>
>>>  Check library(gmm).
>> Liviu
>>
>>
>
>
>
>

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