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st: RE: estimation of nonlinear simultaneous equations system


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: estimation of nonlinear simultaneous equations system
Date   Wed, 30 May 2007 23:52:04 +0100

Presumably you are aware of 

FAQ     . . . . . . . . . Using Stata to solve a system of nonlinear equations
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. H. Feiveson
        10/05   How can I use Stata to solve a system of nonlinear
                equations?
                http://www.stata.com/support/faqs/lang/nl.html

Your problem is very general given no specification of F or G and the fact 
that you want some flexibility over error structure. Nor do you say how 
you expect or want to estimate the equations. 

Nick 
n.j.cox@durham.ac.uk 

Hyeok Jeong
 
> I would like to estimate a nonlinear simultaneous equation 
> system using
> Stata, for example:
> Y1(t) = F[X1(t),X2(t); p] +U1(t)
> Y2(t) = G[X1(t),X2(t); p] +U2(t),
> where Y1 and Y2 are dependent variables,  X1 and X2 are explanatory
> variables, U1 and U2 are possibly correlated error terms, and p is the
> vector of parameters to be estimated.
> 
> All I know about nonlinear estimation from Stata is the "nl" 
> routine for
> a single equation estimation.
> Could anyone help me to implement this estimation using Stata?  I will
> appreciate it much.

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