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Re: st: maximum likelihood estimation similar to Poi 2002


From   "Brian P. Poi" <[email protected]>
To   [email protected]
Subject   Re: st: maximum likelihood estimation similar to Poi 2002
Date   Mon, 28 Mar 2011 18:41:32 -0400

On 3/28/2011 4:46 PM, Alex Olssen wrote:
Thanks a lot for pointing out e(ll), that should help a lot.

I just remembered that I had one other problem with -nlsur-

It has to do with the number of parameters that I can estimate.  I
have 35 years of annual observations on 4 shares.  I want to use 12
regressors in each of 3 equations - one dropped for estimation.

-nlsur- doesn't like this.  But to my mind this should be possible.
Dropping one equation for estimation I no longer have any cross
equation restrictions and I estimate as if by OLS equation by
equation.  Clearly with 35 observations I can estimate a simple model
with 12 regressors by OLS.  Alternatively think of the simple
multivariate case.

Further more in R I can estimate a model with 3 equations with 12
regressors each using 35 years of annual observations on 4 shares.


-nlsur- uses a simple counting rule to determine identification, and it tends to be conservative because it doesn't consider cross-equation restrictions (or, equivalently, that the same parameter appears in multiple equations). In certain situations it may be possible to fit models with fewer observations than -nlsur- thinks you need -- and in those cases -ml- is one alternative. However, based on my experience with AIDS and similar models, the more observations and variation in the data, the better. Usually when people have non-convergence issues in fitting these models, it often ends up being a matter of not having enough data to identify all the parameters.

   -- Brian Poi
   -- [email protected]
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