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st: RE: Re: nonlinear constrained estimation and "makecns"


From   "fm514" <fm514@york.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: nonlinear constrained estimation and "makecns"
Date   Mon, 28 Apr 2008 11:49:32 +0100

I'm sorry, probably I just made things a bit uclear in the attempt of
simplifying my question too much. I just wanted to focus the attention on
those two equations. I am not sure I can use SUR since I am instrumenting X3
in the model.
 


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
Sent: 28 April 2008 11:28
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: nonlinear constrained estimation and "makecns"

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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