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From |
Denis Kalugin <denis.kalugin@gmail.com> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

Subject |
st: MLE est. linear form with two sets of parameters |

Date |
Sun, 30 May 2010 23:57:36 +0400 |

Dear all, I'm currently facing a problem of estimating the following setup: The goal is to estimate two latent variables, let's say L1 and L2. The variables are linked to variable y in the following manner: y=0 if L1<z<L2 y=-1 if z>L2 y=1 if z<L1 L1=exp(x*b1+error)/(1+exp(x*b1+error) L2=min[exp(x*b1+error)/(1+exp(x*b1+error) , exp(x*b2+error)/(1+exp(x*b2+error) This is estimated via slightly altered probit (as far as I understand). P(y=-1)=norm[(log(z/(1-z)) - xb1)/sigma(error1)] P(y=1)=(1-norm[(log(z/(1-z)) - xb1)/sigma(error1)])*(1-norm[(log(z/(1-z)) - xb2)/sigma(error2)]) P(y=0)=1-p(y=-1)-p(y=1) However, my problem right now is how to feed TWO sets of parameters (b1 and b2) to be estimated. If i write this as a linear form, then stata would generate only one vector. in "ml model" function there is no option to define the parameters manually (as there is in non-linear least squares for example). A related question is how to estimate these dependencies with non-linear least squares method? The original estimation routine is from Dudley (2007), a paper on Tests of Dynamic Trade-off theory of Capital Structure. The authors just says "estimation is done by NNLS", but i don't get a clue as to how he goes about it. Could you please help me out on this coz i'm utterly stuck. Many thanks in advance! Best regards, Denis. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: MLE est. linear form with two sets of parameters***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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