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st: Fixed effects in nonlinear least squares


From   Jacob Hansen <jacobmoller@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Fixed effects in nonlinear least squares
Date   Thu, 16 May 2013 08:04:16 +0200

Dear Statalist users,

I would like to know if it is possible to include fixed effects in a
nonlinear least squares regression. And if yes, how?

It is not possible for me to simply create the dummy variables, as it
would result in too many variables. I have 500 individuals and 24
months resulting in 500*24=12.000 dummy variables.

I have defined a program called nlhyper and want to know if there is
something I can do to include the fixed effects when I run the
regression? Below is the relevant piece of Stata code. I can also
include the coding of nlhyper, but I assume that it is not relevant
for my question.

*************************************

qui nl hyper: `y' `otherX' `wt' if fben_inc>.80&nosav==1&e(sample),
initial(b0 0 b1 .1) cluster(cluster)
estimates store hyper
}
******************************

I use Stata 12.1 in Winows 12.1

Thanks in advance for any help

BR

Jacob Moller Hansen
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