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st: RE: RE: nested parameters


From   "Metcalfe, Paul" <Paul.Metcalfe@nera.com>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: nested parameters
Date   Thu, 24 Jul 2003 15:47:50 +0100

Thanks for the reply Nick. 
I may be missing something myself, namely a braincell or two, but my
understanding is that there is a problem in calculating the standard error
of the parameter b, which in Nick's suggested parameterisation is -g/h. I
don't think the standard errors for g and h cannot be used directly to
derive the standard error for b. But I may be wrong and if so I'd be
grateful to know.



-----Original Message-----
From: Nick Cox [mailto:n.j.cox@durham.ac.uk]
Sent: Thursday, July 24, 2003 1:36 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: nested parameters


I may be missing somethig, but the nesting here seems benign. 
You could reparameterise to 

Y1t = a + h Y2t + gXt + cZt + et

after which it looks like a standard regression model. 

Nick 
n.j.cox@durham.ac.uk 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of 
> Metcalfe, Paul
> Sent: 24 July 2003 13:11
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: st: nested parameters
> 
> 
> I would like to estimate a model of the form: Y1t = a + 
> h(Y2t - bXt)+cZt+et
> where a, h, b and c are the parameters to estimate and et 
> is the error term.
> Is there a way to estimate this in stata? 
> 
> 
> 
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