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From |
Ed Blackburne <blackburne@shsu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Defining variables for the ml procedure |

Date |
Sun, 09 Oct 2005 22:36:09 -0500 |

Bjorn, My understanding is that you want to estimate an equation of the form (it doesn't much matter whether it is Z or Z[_N-1] for this post): y=a+b(cZ+x) Is this correct? If so, I see two options. Option 1: Estimate y=a+dZ+bx and use nlcom to recover c: nlcom _b[Z]/_b[x] Option 2: You can estimate via conditional likelihood (aka profile likelihoods) using the undocumented hold option of ml. If you would like a pointer at Option 2 let me know. -Ed On Sun, 2005-10-09 at 12:59 -0400, bpersson@bu.edu wrote: > Dear Statalist, > > I am trying to estimate a nonlinear regression equation using the ml > routine, and I am having problems defining one of my input variables. > Specifically, I would like to use the recursively defined variable > Z(it): > > Z(it) = c*Z(it-1) + X(it) > > as an independent variable in my regression equation. If the > coefficient "c" is known, this variable can be generated as follows: > > gen Z = X > bysort group (time): replace Z = c * Z[_n-1] + X if _n >= 2 > > My problem is that I would like to estimate the coefficient "c" (along > with the other regression coefficients) and therefore I need to define > the variable Z(it) "within" the program itself. > > It seems, however, as if the "by" command and the "if" command are not > allowed when specifying variables in the ml programs. I would be most > grateful if anyone would have any ideas on how to do this. > > Thank you for your help. > > Best > Bjorn > > > > * > * 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/

**Follow-Ups**:**Re: st: Defining variables for the ml procedure***From:*bpersson@bu.edu

**References**:**st: Defining variables for the ml procedure***From:*bpersson@bu.edu

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