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From |
"Chavis, Larry Wilson" <chavis_larry@gsb.stanford.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Nonlinear Least Squares and Fixed Effects |

Date |
Tue, 20 Apr 2004 10:37:09 -0700 |

Mark, Thanks for your input. Greene's series of papers on nonlinear models and fixed effects is certainly helpful. I'll have to go over the paper more carefully, but initially it seems I may be OK in terms of consistency since the data covers a larger number of time periods. It seems that these models generally get better as T increases (but that is just a first guess). Greene certainly seems to be optimistic that panel data and nonlinear models can coexist. As far as the other issues goes, de-meaning would seem to give me more flexibility. Maybe I could wipe out the fixed effects and then use the -nlfcns- to estimate the nonlinear model. -cnsreg- is close to what I need but it only accepts linear constraints and I would like to add a nonlinear one. Thanks again, Larry Chavis Ph.D. Student Stanford Graduate School of Business chavis_larry@gsb.stanford.edu (650)724-4909 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Mark Schaffer Sent: Tuesday, April 20, 2004 8:10 AM To: statalist@hsphsun2.harvard.edu Subject: Re: Nonlinear Least Squares and Fixed Effects Larry, Is your estimation going to be consistent? Sometimes, with fixed effects models, the incidental parameters problem makes the estimator inconsistent. Bill Greene has a short paper about this on his website that also has some useful reading: http://www.stern.nyu.edu/~wgreene/fixedeffects.doc In your first example, it looks like you might be able to de-mean the data by hand to wipe out the fixed effects and then do a constrained linear estimation with -cnsreg-. Hope this helps. --Mark Subject: st: Nonlinear Least Squares and Fixed Effects Date sent: Mon, 19 Apr 2004 13:28:34 -0700 From: "Chavis, Larry Wilson" <chavis_larry@gsb.stanford.edu> To: <statalist@hsphsun2.harvard.edu> Send reply to: statalist@hsphsun2.harvard.edu > > > Hi, > > I am working with panel data and I am trying to impose some nonlinear constraints on an equation with a large number of fixed effects. So far I have been unsuccessful and I have a couple of questions in this regard. Any advice you could provide would be greatly appreciated. > > > 1) For one specification I have run the following linear regression -xtreg lnunit dummy1 dummy2 dummy3 week2-week104, fe i(id)-. Basically I have about 8,000 products (id's) that I have data on for 104 weeks. I would also like to estimate this while constraining the coefficients on dummy1 dummy2 and dummy3 in a nonlinear fashion (i.e. _b[dummy1] = (_b[dummy2]^2) / _b[dummy3]. I am able to test the restriction post-estimation using -testnl-, but I would like to incorporate the restrictions into the regression. Any ideas? > > > 2) Similarly I could aggregate the data by country so that the panel data now represents 43 countries over 104 weeks. Now the data is a manageable size to use the -nl- command and set up the regression using -nlfcns-. The only problem is that I am not sure how to set up the fixed effects dummies in the equation. The only thing I can think of is to us the brute force method and just type in something like - '1' = $B1 * week1 + $B2 * week2 + $B3 week3 + ......-. This seems a little cumbersome since I have over 140 fixed effect dummies. I would also have to type a similarly long list to declare and initialize the parameters. I thought of using -for num- to declare and initialize the sequence of variables, but I am still stuck when it comes to the actual equation. Is there something akin to a summation sign that I could use in this situation? > > > Thanks, > Larry Chavis > > * > * 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/ Prof. Mark E. Schaffer Director Centre for Economic Reform and Transformation Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS UK 44-131-451-3494 direct 44-131-451-3008 fax 44-131-451-3485 CERT administrator http://www.som.hw.ac.uk/cert * * 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/

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