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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