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st: Re: nonlinear constrained estimation and "makecns"


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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)
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