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From |
Christopher Baum <kit.baum@bc.edu> |

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

Subject |
re: Re: Re: st: Question on estimation procedure |

Date |
Wed, 14 Nov 2012 00:18:09 +0000 |

<> Elena said My question was meant to get at STATA (estimation) capabilities and not identifiability; here, in essence, is what I want to know. I want to simultaneously estimate the common base and other coefficients of this geometric function: Y = c_0 + c_1[X_1+a^d2 X_2 + a^d3 X_3] any ideas? As Nick said, it makes no sense to talk about what Stata (not STATA) can or cannot do if mathematically there is no solution to the problem. In that case, what software you use is irrelevant, as no software can solve such a problem. This form of the function is also not identified. Picking arbitrary values for d2 and d3, sysuse auto, clear // Y = c_0 + c_1[X_1+a^d2 X_2 + a^d3 X_3] forv alpha = 0.75(0.05)1.2 { nl (price = {c0} + {c1} * mpg + {c1} *`alpha'^2 * weight + {c1} * `alpha'^3 * turn) nlcom [c1]_cons * `alpha'^2 } As you can see, there is a locus of c1 * alpha^2 combinations which yield the same coefficient on weight. Therefore, there is no solution to this optimization problem if alpha is treated as a parameter to be estimated, as you can readily verify by changing alpha to an additional parameter and asking -nl- to solve that problem. It can't (but neither can -ml-, or -gmm-, or any other method). 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: Re: Re: st: Question on estimation procedure***From:*Elena Quercioli <elena.liquorice@gmail.com>

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