Statalist The Stata Listserver   st: RE: Parameter restrictions
in MLE  From   "Maarten Buis" <> To   <> Subject   st: RE:
Parameter restrictions in MLE Date   Fri, 26 May 2006 09:49:56
+0200  --- Deepankar Basu wrote: > I am trying to do a maximum
likelihood estimation where some of the > parameters of the
model are probabilities; hence they should add up to > unity. >
What is the best way to put restrictions on the relevant
parameters and > constrain them to add up to unity?  Deepankar
Basu: Constraints like these are achieved by transformations,
for instance: a variance is always positive. So when estimating
a variance we want to  impose the constraint that it is
positive. This is achieved by not  estimating the variance, but
the natural logarithm of the variance, which can be any positive
or negative number. Similarly, a common transformation that
ensures a number remains between 0 and 1 is the logit
transformation. The multivariate extension for that would be the
multinomial logit  transformation. So if