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From |
"Hau Chyi" <hauchyi@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: use -nlsur- to deal with nonlinear IV estimation? |

Date |
Fri, 11 Jul 2008 09:58:15 -0500 |

Dear Stata users, I sent this email to the list but didn't see it showing up (I think the problem is beause gmail default setting is formatted). Allow me to try again. Bear me if this question is somewhat long. I have a model of a child's outcome (Y) which is determined by time-invariant exogenous charactersitics (X) and years of childhood welfare (W) and mother's work experiences (E): Y = f(X) + gamma_1*W + gamma_2*E + gamma_3*f(X)*W + gamma_4*f(X)*E + epsilon, where f(X)=X'b is a linear combination of X. Since X is time-invariant, people in the literature typically use it as a measure of initial ability. In my model, marginal productivity of a mother's decisions depend on child's initial ability. So, for example, dY/dW = gamma_1 + gamma_3* f(X). Given that the mother's deicisions, W and E, may be correlated with her child's unobserved characteristics, I find a set of IV (Z) for W and E. The problem is this model is nonlinear in parameters (b, gamma). As a result, I can't use standard IV method. Given a (somewhat) detailed search, I realize Stata doesn't have a command for nonlinear IV estimation. So the first question is, does anyone know if Stata has one (I know from Stata archive that EViews has it). What I figure I can do in Stata is a 3-stage type of method, where I use -nlsur- to specify three equations: first one is the child's attainments equation; the other two are linear projections of W and E on (X and Z). I want to ask if a nonlinear 3-stage approach like this behave differently than typical 3-stage linear approach? Thanks a lot! Hau * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: use -nlsur- to deal with nonlinear IV estimation?***From:*"Austin Nichols" <austinnichols@gmail.com>

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