[R] how to code a restriction matrix with the following restrictions

From: sébastien saegesser <seb_saegesser_at_hotmail.com>
Date: Thu, 14 Apr 2011 21:47:04 +0200

Dear list members,

I need to fit a regression with two inequality constraints. I look up in  the literature and R archive and found some ways to do it, for example using the ic.infer package.

However I do not know how to write in R my constraints. In the package help, it is told that I have to create the restriction matrix ui.

Can someone help me to code the matrix?

In short I run the regression:Return=alpha + beta*benchmark(i) + u

My goal is to find the constrained alpha with the following two restrictions: alpha + (beta -1)Rfmin* <=0

                                                                                                    alpha + (beta -1)Rfmax* <=0


*To facilitate the code I will find the value of Rfmin and Rfmax separately so I will have a vector (Rfmin, Rfmax)' directly available.

Anyone know how I can code the matrix ui representing the above restrictions, so I can fit the constrained regression?

Thanks for your help,
seb                                                

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