Restricted OLS regression
Reg__OLSconstrained(Y, X, Bcon, G)matrix of coefficient (M x N)
left hand side variables (M x T)
regressors (i.e. N-1 variables + the intercept) (N x T)
constraints matrix (M x N). If Bcon(i,j) = nan --> B(i,j) is a free parameter
weighting matrix (psd) - (M x M). Default is set to be identity
# Estimate of B is obtained by minimizing the objective:
sum_t (Y_t-B X_t)' G^(-1) (Y_t-B*X_t)
subject to the constraint that B = Bcon for all non-nan entries of Bcon
This function is based on the "Reg__OLSconstrained" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling).
Available at: https://cepr.org/40029