st: Re: estimation of nonlinear simultaneous equations system

[Kit Baum <baum@bc.edu>]

Feiveson's FAQ deals with the solution of nonlinear equations which  
evaluate to scalars. What is asked below is how you estimate a set of  
stochastic equations where each LHS is a vector. Stata's -nl- does  
not really deal with that. If you were willing to make distributional  
assumptions on the error covariance matrix, you could use -ml- and do  
it with FIML.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 31, 2007, at 2:33 AM, statalist-digest wrote:


> 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.
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