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st: Nonlinear Constrained Estimation ... A Clarification


From   "Francesco Mariotti" <fm514@york.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Nonlinear Constrained Estimation ... A Clarification
Date   Mon, 28 Apr 2008 15:25:10 +0100

Let me reformulate the whole problem. I have to estimate

Y1=X1*b1+X2*b2+X3*b3
Y2=X1*t1+X2*t2+X3*t3

where X1 X2 and X3 are the same in both equations. I have to estimate these
two imposing the restriction t1/b1=t2/b2. I have the additional issue that
X3 (I have several variables in X3, so I was just using a more compact form)
is potentially correlated with the errors. How can I tackle the whole thing
imposing the restrictions and without having to specify other equations for
the endogenous variables in X3?

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