[R] Constrained OLS regression

From: Mesomeris, Spyros [CIR] <spyros.mesomeris_at_citigroup.com>
Date: Wed 27 Sep 2006 - 10:51:08 GMT


Hello R helpers,

I am trying to do a linear OLS regression of y on two variables x1 and x2. I want to constrain the coefficients of x1 and x2 to sum up to 1. and therefore run a constrained OLS. Can anybody help with this? (I have seen some answers to similar questions but it was not clear to me what I need to do) - I have tried the lm function with offset but I must not have used it properly.

Thanks,
Spyros



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