Re: st: nonlinear regression with restrictions

[Ed Blackburne <blackburne@shsu.edu>]

Michael,

I see one way to do so via conditional likelihood (aka profile 
likelihoods) using the undocumented hold option of ml.

I am giving an exam in a moment and will try to use that wasted time to 
think of a nontrivial example for you.


-Ed Blackburne

Michael Stobernack wrote:

> Dear all,
>
> I would like to run the following nonlinear regression:
>
> Y = a1 + a2 * X +a3 * (1 - dk) * (b**2 - 2 * b * x + x**2) + u
>
> with dk = 1 if x <= b  and dk = 0 if x > b
>
> That is, there is a variable (dk) which depends on a parameter (b) 
> which itself
> is still to be estimated.
>
> The background is: I would like to get a linear regression between x=0 
> and x=b,
> but a nonlinear regression for x>b. And I don't know the value of b in 
> advance.
> The regression should estimate the value of b.
>
> I would be very glad about any hints how to do this in Stata.
>
> Best regards,
>
> Michael
>
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