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From |
Jia Li <jli@arec.umd.edu> |

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

Subject |
st: imposing parametric constraints in a two-stage procedure |

Date |
Tue, 6 Jul 2010 21:55:45 -0400 |

Dear statlisters: I’d like to get some advice on the following problem I am trying to solve: I have a system of equations that I am implementing in two stages. The first stage involves estimating a system of nonlinear equations. I have used the –nlsur- command to execute the estimation. For the second stage, I am estimating two separate conditional logit models using –asclogit- and would like to impose certain parametric constraints based on estimates from stage 1. The flow of the program is roughly as the follow: use fuel, clear nlsur (eq1 = exp) (eq2 = exp),ifgnls gen X0 =1+2*_b[B1]*B1+2*_b[B2]*B2…. gen X1=_b[a1]+2*_b[b11]*B1+…. (full expression omitted) save, replace preserve use fuel gen origorder=_n expand 2 …. save fuel_choice, replace constraint 1 [ln_incCW]=X0 constraint 2 [ln_oCostCW]=X1 asclogit cwchoice ln_incCW ln_oCostCW, casevars(own hh_size sqft_a builtyr cdd_mean hdd_mean) case(id) alternatives(cw) constraints(1-2) vce(robust) restore ******************* Here are my questions: 1. The way I imposed constraints in the code above didn’t work. I think one reason is the “X0” and “X1” variables generated in “fuel.dta” post –nlsur- estimation are not carried to the expanded long-form data in “fuel_choice.dta”. What would be the proper way to impose constraints in this case? 2. My ultimate goal is to have iteration between the two stages to achieve convergence of parameters and I will need to write a loop do that. In this case, what would be the best way to impose parametric constraints that will also adjust the standard errors of the predicted values? I appreciate any suggestion you may have! Best, Jia * * 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/

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