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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 |
Mon, 10 Oct 2005 14:22:08 -0500 |

Bjorn, I am perhaps misunderstanding your model. Here is a code snippet you can paste into to Stata and run. ****************Begin do file******************** webuse lutkepohl *** Estimate consumption=a+b*(c*income[_n-1]+invest) *** The reduced form is consumption=a + d*l.income + b*investment *** This is what we will estimate with Stata regress consu l.income invest *** From these estimates, we can recover parameter c. *** Since d=b*c, we have c=d/b *** In Stata speak this is _b[l.income]/_b[investment] nlcom (_b[l.income]/_b[investment]) *************End do file Does that accomplish your task? Let me know. Ed On Mon, 2005-10-10 at 13:47 -0400, bpersson@bu.edu wrote: > 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/ * * 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

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

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

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