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st: instrumentation equation with NLSUR


From   orozco@toulouse.inra.fr
To   statalist@hsphsun2.harvard.edu
Subject   st: instrumentation equation with NLSUR
Date   Tue, 30 Oct 2007 15:09:39 +0100

Hi,

Maybe my question is a trivial one. I don't know if it is possible, with NLSUR,
to estimate a system of nonlinear equations with some equations of
instrumentation (I suppose some variables to be endogeneous). If it is
possible, how can I specify it?

I tried to write a little program estimating the following system of 2 equations
:
w1 = a1 + a11 lnp1 + b1 lnp2 + b11 * (lnexp - lnP)
w2 = a2 + a12 lnp2 + b2 lnp2^2 + b12 (lnexp - lnP)
with lnP = a1 lnp1 + a2 lnp2 + a11*a12 + lnp1*lnp1 + lnp1*lnp2 + lnp2*lnp1 +
lnp2*lnp2

and I want to instrument the variable lnp2 that I suppose to be endogeneous
(with 2 instruments : expfd and p1 for example).
But it doesnt work and I have no idea how to correctly specify it.

Thank you for trying to help me.

valérie


capture program drop nlsurtest

program nlsurtest
    version 10
    syntax varlist(min=5 max=7) if, at(name)
    tokenize `varlist'
    args w1 w2 lnp1 lnp2 lnm expfd p1

    tempname a1 a2  a11 a12
    scalar `a1' = `at'[1,1]
    scalar `a2' = `at'[1,2]
    scalar `a11' = `at'[1,3]
    scalar `a12' = `at'[1,4]

    tempname b1 b2 b11 b12
    scalar `b1' = `at'[1,5]
    scalar `b2' = `at'[1,6]
    scalar `b11' = `at'[1,7]
    scalar `b12' = `b11'

    tempname t1 t2
    scalar `t1' = `at'[1,8]
    scalar `t2' = `at'[1,9]

    quietly {
        tempvar toto
        gen double `toto' = `a1' * `lnp1' + `a2' * `lnp2' + `a11' * `a12'
        forvalues i =  1/2 {
            forvalues j=1/2 {
                replace `toto' = `toto' + `lnp`i'' * `lnp`j''
            }
        }
        replace `w1' = `a1' + `a11' * `lnp1' + `b1'*`lnp2' + `b11' * (`lnm' -
`toto')
        replace `w2' = `a2' + `a12' * `lnp2' + `b2'*`lnp2'^2 + `b12' * (`lnm' -
`toto')
        replace `lnp2' = `t1' * `expfd' + `t2' * `p1'  /*instrumentation
equation*/

    }

end

use http://www.stata-press.com/data/r10/food,clear

nlsur test  @ w1 w2 lnp1 lnp2 lnexp  expfd p1 ,parameters(a1 a2 a11 a12 b1 b2
b11 ) neq(3) ifgnls



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