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Re: st: System of equations using iterative non-linear least squares


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: System of equations using iterative non-linear least squares
Date   Tue, 16 May 2006 10:01:45 -0500

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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