Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Defining variables for the ml procedure


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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index