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st: RE: missing standard error with nonlinear least squares


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: missing standard error with nonlinear least squares
Date   Thu, 30 Mar 2006 09:28:12 -0600

Sometimes I have found specifying initial parameter values can help.

For example:

sysuse auto,clear

//This will produce missing std. errors for b0
nl (price = {b0}/(1-{b3}) + {b1}*mpg + {b2}*weight + /// 
 (({b3}*{b1}+{b4})/(1-{b3}))*trunk + /// 
 ({b3}*{b2}/(1-{b3}))*length + ({b5}/(1-{b3}))*gear), nolog

//All coefficients have std. errors
nl (price = {b0 =-1}/(1-{b3}) + {b1}*mpg + {b2}*weight + ///
 (({b3}*{b1}+{b4})/(1-{b3}))*trunk + ///
 ({b3}*{b2}/(1-{b3}))*length + ({b5}/(1-{b3}))*gear), nolog


Scott

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Giulio Zanella
> Sent: Thursday, March 30, 2006 8:15 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: missing standard error with nonlinear least squares
> 
> I estimated a nonlinear model using command nl. Stata produced estimates
> for
> all of the coefficients. However, the standard error of one such
> coefficient
> (and this only) was not computed: a dot replaced the standard error and
> related statistics cells. Defining dep var Y coefficients b0 to b5 and
> regressors X1 to X5 (plus constant), the model is:
> 
> Y = b0/(1-b3) + b1*X1 + b2*X2 + [(b3*b1+b4)/(1-b3)]*X3 + [b3*b2/(1-b3)]*X4
> +
> [b5/(1-b3)]*X5 + e
> 
> I don't understand why Stata can compute the mean of b3 but not its
> standard
> error, while - for instance - standard errors associated with b1 and b2
> are
> produced. Any clue?
> 
> Many thanks
> 
> Giulio Zanella


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