Wednesday, February 22, 2006

Re: st: non-linear models with gmm

Alvaro,

I have some ml routines that can be easily modified (famous last words) to estimate the parameters in your model except for the handling of IV.

If interested, I can work up an example with the code for the model y=beta1*y(t-1)+(1-beta1)*(beta2+beta3*x1)+epsilon and see if that helps get you on your way.

Ed

On Wed, 2006-02-22 at 17:47 +0000, alvaro wrote: > Dear colleagues, > I need to estimate a non-linear model with gmm. > the model is of the following type: > > y=beta1*y(t-1)+(1-beta1)*(beta2+beta3*x1)+epsilon > > with instruments: c x1(t-1) and so on. > > Is there any built in facility in Stata to perform this regression? > > Cheers, > > Alvaro > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


Tag:


Links to this post:

Create a Link



<< Home

This page is powered by Blogger. Isn't yours?