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:[email protected]]
Sent: Thursday, July 24, 2003 1:36 PM
To: [email protected]
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
[email protected]
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of
> Metcalfe, Paul
> Sent: 24 July 2003 13:11
> To: '[email protected]'
> 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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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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*
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* http://www.ats.ucla.edu/stat/stata/
