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st: Nonlinear Least Squares in STATA


From   Hugh Yu <hugh_yu@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Nonlinear Least Squares in STATA
Date   Thu, 6 Oct 2005 21:41:22 -0700 (PDT)

Does any of you have any idea on how to implement the
following constraint on a nonlinear regression model?

The regression model:
R(t) - R(t-1) =
[lamdau*I(t)+lamdad*(1-I(t)]*[beta*r(t) + gamma -
R(t-1)] + error(t)

The constraint that defines the indicator variable
I(t) above:
I(t) = 1 if beta*r(t) - R(t-1) + gamma > 0
I(t) = 0 if beta*r(t) - R(t-1) + gamma < 0

The model and the constraint need to be estimated
simultaneously using nonlinear least squares but I
can't get the constraint set up properly in STATA. 
I'd appreciate your inputs on this.  Thanks.



		
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