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re: Re: st: Question on estimation procedure


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: Re: st: Question on estimation procedure
Date   Tue, 13 Nov 2012 02:15:21 +0000

<>	

Elena said

Oops, my bad. I omitted to state that d1=0.

Would you have any suggestions on how to estimate the non-linear model
I illustrated?



No, the model
 Y = c_0 + c_1  X1 + c_2 a^d2 X2
is still underidentified, even with the restriction that removes the alpha^0 term. Consider

sysuse auto, clear

forv c2 = 0.75(0.05)1.2 {
	nl (price = {c0} + {c1} * mpg + `c2' * {alpha}^2 * weight)
	nlcom `c2' * ([alpha]_cons )^2
}

As you can see, there is a locus of c2 and alpha values that render the same product (c2 * alpha^2),
so the data cannot identify c0, c1, c2, alpha from three data vectors: iota, mpg, weight.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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