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


From   "Bley N'Dede" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   RE: st: RE: GMM estimation: restricting parameter estimates
Date   Mon, 24 Jun 2013 17:41:01 +0000

Dear Statalist,

I am trying to estimate a growth model using also gmm estimation. I would like to set the sum of three parameters equal to one. could you please help me in this matter. 

________________________________________
From: [email protected] [[email protected]] on behalf of Christopher Baum [[email protected]]
Sent: Thursday, June 06, 2013 7:43 AM
To: <[email protected]>
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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