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st: Re: RE: Nonlinear IV estimation in STATA


From   "Elaine Tan" <elaine.tan@econ.hku.hk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: Nonlinear IV estimation in STATA
Date   Sat, 29 Apr 2006 11:43:48 +0800

Thanks - the demand function is modelled as:

Q = B(A-P)^2

rewritten as: lnQ = lnB + 2 ln(A-P) + u

So the function is nonlinear in A. I think I need nonlinear IV regression to estimate A?

(I have modelled the demand function as linear [Q=B(A-P)] and log-linear - these estimations were done using ivreg2)

I would like to use Amemiya's least-distance method (or Jorgensen's estimator), but I don't know how to ask stata to do it.

Any help will be much appreciated, Elaine


----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, April 29, 2006 5:55 AM
Subject: st: RE: Nonlinear IV estimation in STATA



Elaine,

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Elaine Tan
Sent: 28 April 2006 02:45
To: statalist@hsphsun2.harvard.edu
Subject: st: Nonlinear IV estimation in STATA

Hi, I would like to estimate a quadratic demand function with
endogenous price-sq on the RHS that is instrumented by a few
variables. Can someone please help me do nonlinear IV
regressions on STATA?
I'm not sure I understand.  It sounds like your model is nonlinear in
variables but linear in parameters.  If so, then you don't need
nonlinear IV.  Standard linear IV will work just fine, so long as you
have instruments for your price-sq term.  But perhaps my description of
the model is incorrect.

--Mark

Many thanks. Elaine Tan





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