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st: RE: Re: Re: RE: Nonlinear IV estimation in STATA

 From "Schaffer, Mark E" <[email protected]> To <[email protected]> Subject st: RE: Re: Re: RE: Nonlinear IV estimation in STATA Date Sat, 29 Apr 2006 07:42:22 +0100

```Elaine,

> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Elaine Tan
> Sent: 29 April 2006 04:51
> To: [email protected]
> Subject: st: Re: Re: RE: Nonlinear IV estimation in STATA
>
> Hi - Information that I left out earlier: B measures size of
> market demand, A is maximum willingness to pay.
>
> Hope this clarifies things. Many thanks, Elaine
>
>
> ----- Original Message -----
> From: "Elaine Tan" <[email protected]>
> To: <[email protected]>
> Sent: Saturday, April 29, 2006 11:43 AM
> Subject: st: Re: RE: Nonlinear IV estimation in STATA
>
>
> > 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?

Yes, unless you linearise the equation (which might be the easiest way
to go), you'll need nonlinear IV or GMM.

Unfortunately, that means "rolling your own" - you'll have to program it
yourself, unless something is available on ssc or you can find someone
who has already done it.

--Mark

> > (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" <[email protected]>
> > To: <[email protected]>
> > Sent: Saturday, April 29, 2006 5:55 AM
> > Subject: st: RE: Nonlinear IV estimation in STATA
> >
> >
> >> Elaine,
> >>
> >>> -----Original Message-----
> >>> From: [email protected]
> >>> [mailto:[email protected]] On Behalf
> Of Elaine Tan
> >>> Sent: 28 April 2006 02:45
> >>> To: [email protected]
> >>> 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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>

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```

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