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st: RE: Re: Re: RE: Nonlinear IV estimation in STATA


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Re: RE: Nonlinear IV estimation in STATA
Date   Sat, 29 Apr 2006 07:42:22 +0100

Elaine,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Elaine Tan
> Sent: 29 April 2006 04:51
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: Re: RE: Nonlinear IV estimation in STATA
> 
> Hi - Information that I left out earlier: B measures size of 
> market demand, A is maximum willingness to pay.
> 
> Hope this clarifies things. Many thanks, Elaine
> 
> 
> ----- Original Message -----
> From: "Elaine Tan" <elaine.tan@econ.hku.hk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Saturday, April 29, 2006 11:43 AM
> Subject: st: Re: RE: Nonlinear IV estimation in STATA
> 
> 
> > 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?

Yes, unless you linearise the equation (which might be the easiest way
to go), you'll need nonlinear IV or GMM.

Unfortunately, that means "rolling your own" - you'll have to program it
yourself, unless something is available on ssc or you can find someone
who has already done it.

--Mark

> > (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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