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Re: st: Minimum distance estimator

From   Carlos Rodriguez <>
Subject   Re: st: Minimum distance estimator
Date   Thu, 15 Apr 2010 19:13:59 -0700

You might look inside quantile regression ado. It's not mata but
should be close to what you want.



> Dear Statalist,
> Does anyone have a code to estimate a Minimum Distance Estimator using mata optimize or lm?
> In other words, my problem is as follows. I have a set of estimators B and a mapping of these estimators into another set of parameters such that A=H(B). I want to find a way to minimize (A-H(B))`W(A-H(B)) where W is a weighting matrix.
> Thanks,
> Benjamin
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