I have undertaken a fixed income portfolio analysis for one of my University's endowment funds, and I am working on a model to calculate returns. I have constructed a multiple linear equation and know one of the regressor coefficients. Does anyone know of a way for me to hold the known value constant, while letting sas adjust the coefficients on the other independent variables?
A possible way around this would be to fit the model with the known coefficient, and then compute residuals and do ROBUSTREG on the residuals. I haven't thought this through 100% to convince myself that is reasonable, but it sounds like it would work at first glance.
where C is known a priori, then you can rewrite the equation as:
Y* = Y - C*Z = b0 + b1*X1 + b2*X2 + ... + bk*Xk
So, all you need to do is to construct a new response variable in which you subtract the known effect from the original response. You can then fit your model employing this new response and predictors X1, X2, ..., Xk.