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From |
bpersson@bu.edu |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 10 Oct 2005 13:47:33 -0400 |

Hi Ed, Thank you for your reply. Your Option 2 sounds very promising and I would be very grateful for any hints and advice you might have on how to use it. (As I understand it, I cannot use Option 1 because the variable Z is unobserved. Since it depends on the unknown coefficient c, the variable Z must somehow be generated as a part of (that is, simultaneously as) the estimation of the regression equation y = a + b*(c*Z[_n-1] + x)) Please let me know if this is not clear, and thanks for your help! Best Regards Bjorn Quoting Ed Blackburne <blackburne@shsu.edu>:

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/

* * 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:*Ed Blackburne <blackburne@shsu.edu>

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

**Re: st: Defining variables for the ml procedure***From:*Ed Blackburne <blackburne@shsu.edu>

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