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st: Nonlinear least square


From   Wei Tan <weitan76@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Nonlinear least square
Date   Tue, 2 Jul 2002 19:53:16 -0700 (PDT)

Hi,

I try to estimate a mixture of normal models by NLS.
ie I try to fit the following non linear least square
model:

y=w*normcdf((xb-u1)/sigma1)+(1-w)*normcdf((xb-u2)/sigma2)

I write the following code in stata, however the stata
program shows the following error message:

error #199 occurred in program nlrfgmm
could not restore sort order because variables were
dropped

could you please tell me what mistakes I made for this
program?

thanks

wei


program define nlrfgmm
	version 7.0
	if "`1'"=="?" {
	global S_1 "pi1 pi2 pi3 pi4 u2 sigma2 omega"
	global pi1=0.45
	global pi2=0.05
	global pi3=0.05
	global pi4=0.95
	global u2=0.45
	global sigma2=0.85
	global omega=0.5
	exit
	}
	u1=(1-$omega)*$u2/$omega

sigma1=((1-$u2^2-$sigma2^2)+$omega*($u2^2-$u1^2+$sigma2^2))/$omega)^0.5
	replace
`1'=$omega*norm((x1*$pi1--u1)/sigma1)+(1-$omega)*norm((x1*$pi1-$u2)/$sigma2)

end


use rfdata

nl rfgmm y x1 x2 x3 x4 


=====
Wei Tan

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