[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: nonlinear constrained estimation and "makecns"

From   Kit Baum <>
Subject   st: Re: nonlinear constrained estimation and "makecns"
Date   Mon, 28 Apr 2008 06:31:34 -0400

I don't think this is the appropriate way to deal with this. By pooling the data in these two equations you are assuming that there is a single error process. Dealing with them as SUR equations, without constraints, would clearly not result in equal sigma^2. Even though two of the equations' coefficients are forced to be proportional by the constraints, the third is not, so I would think that the imposition of a single error variance implied by this method would be an inappropriate restriction on the DGP.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Apr 28, 2008, at 02:33 , Maarten wrote:

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)
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index