st: Re: RE: Nonlinear IV estimation in STATA

["Elaine Tan" <elaine.tan@econ.hku.hk>]

Thanks - the demand function is modelled as:

Q = B(A-P)^2

rewritten as: lnQ = lnB + 2 ln(A-P) + u

So the function is nonlinear in A. I think I need nonlinear IV regression to 
estimate A?

(I have modelled the demand function as linear [Q=B(A-P)] and log-linear - 
these estimations were done using ivreg2)

I would like to use Amemiya's least-distance method (or Jorgensen's 
estimator), but I don't know how to ask stata to do it.

Any help will be much appreciated, Elaine


----- Original Message ----- 
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, April 29, 2006 5:55 AM
Subject: st: RE: Nonlinear IV estimation in STATA



> Elaine,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Elaine Tan
> > Sent: 28 April 2006 02:45
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Nonlinear IV estimation in STATA
> >
> > Hi, I would like to estimate a quadratic demand function with
> > endogenous price-sq on the RHS that is instrumented by a few
> > variables. Can someone please help me do nonlinear IV
> > regressions on STATA?
> I'm not sure I understand.  It sounds like your model is nonlinear in
> variables but linear in parameters.  If so, then you don't need
> nonlinear IV.  Standard linear IV will work just fine, so long as you
> have instruments for your price-sq term.  But perhaps my description of
> the model is incorrect.
>
> --Mark
>
> > Many thanks. Elaine Tan
> >
> >
> >
> >
> >
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