If you are testing whether B1=0 (I've no idea, but you might be), then
you can consider LM test, and then you only need to estimate a linear
iterative model... provided it satisfies identifiability conditions.
Otherwise, assuming normality of (e1,e2), you can write your own -ml-
estimator; it is not terribly difficult.
On 5/16/06, Nuno Soares <ns.mlists@gmail.com> wrote:

Hi everyone,
I need to estimate a system of equations using iterative non-linear least
squares (to test for market rationality (Mishkin(1983)), but I can't find if
stata is able to do such a thing... The system of equations is the
following:
Y1=B1+B2*X1+e1
Y2=B3*(Y1-B1-B4*X1)+e2
Does anyone have an idea of how to do this in stata?
Best,
Nuno
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--
Stas Kolenikov
http://stas.kolenikov.name
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