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Re: st: Nonlinear ARMAX model

From   Tirthankar Chakravarty <>
Subject   Re: st: Nonlinear ARMAX model
Date   Mon, 8 Mar 2010 15:03:14 +0530

Well, in principle you can get at the NLS estimator for nonlinear ARX
(or invertible nonlinear ARMAX) models as well using -nl-:
webuse wpi1, clear
nl (ln_wpi = {alpha}+{beta1}*abs(L.ln_wpi^{gamma=1}) ) ///
	if L.ln_wpi!=., vce(robust)
This estimator is consistent for nonlinear ARX models (See Sec. 8.2,
Bierens [1994], Topics in Advanced Econometrics, CUP). You should be
careful about estimates of the variance-covariance matrix.


2010/3/8 Sebastian van Baal <>:
> Dear Robert:
> Thank you for your explanations! I was thinking more general and perhaps my
> nomenclature was problematic. The econometric software Eviews is able to
> estimate "nonlinear models with AR and SAR specifications" (quote from the
> feature list). This works since Eviews allows the user to enter the complete
> regression equation (much like Stata's nl-command) including AR-terms. So my
> question boils down to this: Is there a command in Stata that allows me to
> a) enter the explicit regression equation and b) specify AR-terms? (MA-terms
> would be interesting as well, but I don't need them in this case and Eviews
> can't incorporate them into a nonlinear model either.)
> Best regards
> Sebastian
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