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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: NLLS w/ normal distribution - some parameters not estimated |

Date |
Sun, 13 Jun 2010 17:29:34 +0000 (GMT) |

--- On Sun, 13/6/10, Denis Kalugin wrote: > I'm trying to do a non-linear least squares estimation to > nail down a latent dependence. The latent variables can be > regressed on a linear form and look like > L1=xb1+error1 > L2=xb2+error2 > > The probabilities of observing a value of y is given by > P(y=-1)=P(L1<z)=norm( (z-xb1)/error1 ), > P(y=1)=P(z<min(L1,L2))=( 1- norm( (z-xb1)/error1 ) )*( > 1- norm( (z-xb2)/error2 ) ) > P(y=0) = 1 - P(y=1) - P(y=-1) This doesn't sound like a problem for -nl-, rather a problem for -ml- (or maybe -gmm-). Basically, -nl- still assumes that the dependent variable is continuous, which is not the case in your problem. Also note that the variances of the error terms are probably not identified. Finally, do you think that these error terms are uncorrelated? Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**References**:**st: NLLS w/ normal distribution - some parameters not estimated***From:*Denis Kalugin <denis.kalugin@gmail.com>

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