In addition to Dimitris's approach, probably the following is more straightforward..(the idea is the same, but implementation is simpler; you do not need starting values, for instance..)
Given the linear predictor lp: b0+b1X1+b2X2 as b2=1-b1 the lp becomes: b0+b1X1+(1-b1)X2 => b0+b1(X1-X2)+offset(X2) Hence for a generic GLM you can type glm(y~1+I(x1-x2)+offset(x2)) Hope this helps, vito Dimitris Rizopoulos wrote: > you could reparameterize, e.g., > > x1 <- runif(100, -4, 4) > x2 <- runif(100, -4, 4) > X <- cbind(1, x1 , x2) > y <- rnorm(100, as.vector(X %*% c(5, -3, 4)), 2) > ###################### > > fn <- function(betas){ > betas <- c(betas, 1 - betas[2]) > crossprod(y - X %*% betas)[1, ] > } > > opt <- optim(c(5, -3), fn, method = "BFGS") > c(opt$par, 1 - opt$par[2]) > > > I hope it helps. > > Best, > Dimitris > > ---- > Dimitris Rizopoulos > Ph.D. Student > Biostatistical Centre > School of Public Health > Catholic University of Leuven > > Address: Kapucijnenvoer 35, Leuven, Belgium > Tel: +32/(0)16/336899 > Fax: +32/(0)16/337015 > Web: http://med.kuleuven.be/biostat/ > http://www.student.kuleuven.be/~m0390867/dimitris.htm > > > ----- Original Message ----- > From: "Mesomeris, Spyros [CIR]" <[EMAIL PROTECTED]> > To: <r-help@stat.math.ethz.ch> > Sent: Wednesday, September 27, 2006 12:51 PM > Subject: [R] Constrained OLS regression > > > >>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 >> >>______________________________________________ >>R-help@stat.math.ethz.ch mailing list >>https://stat.ethz.ch/mailman/listinfo/r-help >>PLEASE do read the posting guide >>http://www.R-project.org/posting-guide.html >>and provide commented, minimal, self-contained, reproducible code. >> > > > > Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- ==================================== Vito M.R. Muggeo Dip.to Sc Statist e Matem `Vianelli' Università di Palermo viale delle Scienze, edificio 13 90128 Palermo - ITALY tel: 091 6626240 fax: 091 485726/485612 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.