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RE: st: RE: GMM estimation: restricting parameter estimates


From   "Bley N'Dede" <ndedecb@tigermail.auburn.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: GMM estimation: restricting parameter estimates
Date   Mon, 24 Jun 2013 07:10:23 +0000

Thanks 
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Christopher Baum [kit.baum@bc.edu]
Sent: Thursday, June 06, 2013 7:43 AM
To: <statalist@hsphsun2.harvard.edu>
Subject: Re:  st: RE: GMM estimation: restricting parameter estimates

On Jun 6, 2013, at 8:33 AM, Mark
 wrote:

> You could try a variation on a trick that is sometimes used in code to restrict the range of parameter values.  Instead of estimating a and b you could estimate 1/a and 1/b.  Or some other function that prevents Stata (not "STATA" btw) from deciding on exact zeros as solutions.
>
> For an example of how official Stata code does something similar, have a look at the manual entry for -heckman- and in particular the discussion of how rho is estimated.

There is also a useful FAQ that discusses this sort of trickery.

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
                                                                                                      http://www.crup.com.cn/Item/111779.aspx


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