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


From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: RE: re: nonlinear constrained estimation and "makecns"
Date   Mon, 28 Apr 2008 15:47:12 +0100 (BST)

--- Francesco Mariotti <[email protected]> wrote:
> 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? 

You don't. Even if these kinds of short cuts exist, they inevitably
lead to disaster. I don't think there is an easy solution to your
problem. In your case I would specify the entire model, derive the
log-likelihood, and maximize this using -ml-. As I remarked earlier
this problem is similar, but as Kit remarked not the same, as
-propcnsreg-. While programming -propcnsreg- I noticed that the
likelihood is rather nasty, with local maxima. So you'll probably want
to invest some aditional time in getting good starting values. Anyhow,
this would be a major project. 

Sorry,
Maarten


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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