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Re: st: Re: estimation of nonlinear simultaneous equations system


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: estimation of nonlinear simultaneous equations system
Date   Tue, 5 Jun 2007 08:07:16 -0500 (CDT)

On Mon, 4 Jun 2007, Hyeok Jeong wrote:

Thank you for the kind replies from Nick Cox and Kit Baum. Somehow I received your messages just now (not only yours but also all messages from statalist). The estimation method that I have in mind is the "minimum distance estimation" since I do not want to assume a parametric form for the error terms. So, neither "ml" nor "nl" seem to be helpful. Are there any other ways?
And earlier he wrote

I would like to estimate a nonlinear simultaneous equation
system using
Stata, for example:
Y1(t) = F[X1(t),X2(t); p] +U1(t)
Y2(t) = G[X1(t),X2(t); p] +U2(t),
where Y1 and Y2 are dependent variables,  X1 and X2 are explanatory
variables, U1 and U2 are possibly correlated error terms, and p
is the vector of parameters to be estimated.
Stata 10 has a new command -nlsur- that fits nonlinear seemingly unrelated regression (NLSUR) models and is designed specifically for this type of problem. The syntax is very similar to -nl-, except that you can specify multiple equations.

-- Brian Poi
-- bpoi@stata.com
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