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st: Error component models


From   "Stephen P. Jenkins" <stephenj@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Error component models
Date   Thu, 8 Nov 2007 09:50:25 -0000

> Date: Wed, 07 Nov 2007 13:48:24 +0100
> From: Dimitris Pavlopoulos <Dimitris.Pavlopoulos@soc.kuleuven.be>
> Subject: st: Error component models
> 
> Dear statalisters,
> 
> I want to run an error component model for earnings in the framework

> of Ramos (2003), Cappellari (2004), Dickens (2000). These models  
> extend the typical random effects model
> 
> y_it = m_i + e_it
> 
> by applying several specifications to the individual effects m_i  
> (random walk, random growth) and to the error term e_it 
> (AR(1) or ARMA  
> models). An example is the following model of Ramos (2003):

<snip> 

> These models are estimated with the use of minimum distance  
> estimation. Estimation of some these models is possible in SAS. Does

> anyone know how to estimate them in STATA? Is there any module for  
> them? I have found references to an old module from L. Cappellari  
> (mindist) that was presented in one Stata meeting but it does not  
> appear anywhere. Moreover, from what I understand it does not cover

> all the usual specifications that are used in the literature.

 
As far as I know, all of Xavi Ramos's and Lorenzo Cappellari's
estimations used -nl- to fit the different models. (Martin Biewen did
it slightly differently -- he used -ml-, I think.)

The idea is to multiply out the matrix equations and ones a big
non-linear equation in the moments, with a different -nl- equation for
each type of model.

Note the appearance of -nlsur- in Stata 10. At first glance, this
module might provide an easier route to estimate these models, but I
have not had time to check this yet.


Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Director, Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk  
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/ 
Downloadable papers and software: http://ideas.repec.org/e/pje7.html

Learn about the UK's new household panel survey, the United Kingdom
Household Longitudinal Study: http://www.iser.essex.ac.uk/ukhls/ 
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http://www.iser.essex.ac.uk/ukhls/consult/



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