Multivariate Regression with coeffcients constrained to lie on a k polynom

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Oli 2016-3-16

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评论： Oli 2016-4-25

I would like to run a regression of age cohorts in % (x1,x2,x3) on the a return level (20yr time series), including a control variable in the regression for the interest rate level. The coefficients of these age cohorts are constrained to satisfy a polynomial of order k. The coefficients are in addition constrained to sum to 0. Any help much appreciated.

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Answer 1

Roger Wohlwend 2016-3-18

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https://ww2.mathworks.cn/matlabcentral/answers/273797-multivariate-regression-with-coeffcients-constrained-to-lie-on-a-k-polynom#answer_214124

You have to use optimization for your Problem. Use the Matlab function fmincon.

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Oli 2016-4-25

Roger, thank you very much. It would be very helpful if you could be a little bit more specific. I guess I have to use the function polyfit in connection with fmincon. But how can I combine the multivariate regression (5 age cohorts: 1-10y, 10-40y,40-60y,60-70y, 70y+) on variable y over 20 time periods with the constraint that the 5 variables should lie on a 3th order polynomial and constrained in sum to 1? I am struggling how to construct the logic of this function. Any advice would be very much appreciated.

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