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st: Multivariate nonlinear estimation in Stata?


From   Hyeok Jeong <hjeong@usc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Multivariate nonlinear estimation in Stata?
Date   Thu, 31 May 2007 10:18:09 -0700

Hi,

Following Mr. Nicholas Cox's advice on the no response case in his
Statalist FAQ document, I am rewriting the question that I posted
yesterday. 

Does anyone know if there is a way of implementing "multivariate
nonlinear estimations" using Stata? It can be nonlinear GLS estimator,
minimum distance estimator for multiple equations, or GMM estimator for
multivariate equations (which I think are basically similar).

My example was as follows:
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. F and G are nonlinear functions in
X1, X2, and the parameter p, but as you notice, the error terms are
additive.

I will appreciate if anyone cane help me about this.

Best

Hyeok

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