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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 06:28:18 -0400

First this is not a simultaneous system, as Y1 and Y2 only appear on the LHS. So it is a problem for SUR, not 3SLS, as all variables on the RHS are exogenous in the system you describe.

Second 'makecns' will not do any good for nonlinear constraints. It is appropriate for y = X b + u s.t. R b = r, where you want to make the matrix R and vector r. Nonlinear constraints cannot be handled by this framework.

Third it should be straightforward to do this with the -nlsur- command, as it is specifically designed to handle nonlinear systems of non-simultaneous equations.


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 , Francesco 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?
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