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Re: st: Nonlinear Constrained Estimation and "makecns"


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonlinear Constrained Estimation and "makecns"
Date   Sun, 27 Apr 2008 22:55:08 +0100 (BST)

Actually, I should have seen that I have already done something that is
very close in the -propcnsreg- package, see -findit propcnsreg-. You
need to create a singly y variable, and a dummy variable indicating
whether the a record is refering to y1 or y2 (call this dummy variable
D). Than you type:

propcnsreg y D X3, constrained(X1 X2) lambda(D)

I gave a talk on this at the last UK Stata Users Group meeting, called
" Usefulness and estimation of proportionality constraints", you can
download that talk from http://ideas.repec.org/s/boc/usug07.html

-- Maarten

--- Maarten buis <maartenbuis@yahoo.co.uk> wrote:

> --- Francesco Mariotti <fm514@york.ac.uk> wrote:
> > I am estimating a model of simultaneous equations and I have to
> > impose some nonlinear constraints on the parameters. Here is an
> > example of what I have to estimate:
> > 
> > Y1=X1*b1+X2*b2+X3*b3
> > Y2=X1*t1+X2*t2+X3*t3
> > 
> > The nonlinear constraints I want to impose on this model are of
> this
> > type:
> > t1/b1=t2/b2
> > 
> > I am estimating the model using 3SLS.
> > 
> > Here is the question: How can I easily impose those constraints? Is
> > there an easier way than going through the "makecns" programming??
> If
> > I have to go through the programming, how do I specify/create the
> > constraint matrix?
> 
> That is tough, you probably could do it using -ml- by specifying the
> likelihood function that already incorporates that constraint. If you
> want to go along this road you will probably want to buy this book:
> 
> http://www.stata.com/bookstore/mle.html


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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