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

From   "Hau Chyi" <>
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!

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