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st: Estimating a Common Exponential Rate on Several Times Series


From   Elena Quercioli <elena.liquorice@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Estimating a Common Exponential Rate on Several Times Series
Date   Sat, 24 Nov 2012 15:49:23 -0500

Dear Statalist Users,

I would like to know the answer to the following question:

How do I use Stata to find the best MLE fit across a,b,c

Y = a + b X(c)

where X(c) = e^{-c Z1} X1 + e^{-c Z2} X2 + ... + e^{-c Zn} Xn

given data {Yi}, {X1i,X2i,...,Xni} and {Z1i,Z2i,...,Zni}

Obviously, the nonlinearity is the issue....


Thank you.
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