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[email protected] |

Subject |
st: instrumentation equation with NLSUR |

Date |
Tue, 30 Oct 2007 15:09:39 +0100 |

Hi, Maybe my question is a trivial one. I don't know if it is possible, with NLSUR, to estimate a system of nonlinear equations with some equations of instrumentation (I suppose some variables to be endogeneous). If it is possible, how can I specify it? I tried to write a little program estimating the following system of 2 equations : w1 = a1 + a11 lnp1 + b1 lnp2 + b11 * (lnexp - lnP) w2 = a2 + a12 lnp2 + b2 lnp2^2 + b12 (lnexp - lnP) with lnP = a1 lnp1 + a2 lnp2 + a11*a12 + lnp1*lnp1 + lnp1*lnp2 + lnp2*lnp1 + lnp2*lnp2 and I want to instrument the variable lnp2 that I suppose to be endogeneous (with 2 instruments : expfd and p1 for example). But it doesnt work and I have no idea how to correctly specify it. Thank you for trying to help me. val�rie capture program drop nlsurtest program nlsurtest version 10 syntax varlist(min=5 max=7) if, at(name) tokenize `varlist' args w1 w2 lnp1 lnp2 lnm expfd p1 tempname a1 a2 a11 a12 scalar `a1' = `at'[1,1] scalar `a2' = `at'[1,2] scalar `a11' = `at'[1,3] scalar `a12' = `at'[1,4] tempname b1 b2 b11 b12 scalar `b1' = `at'[1,5] scalar `b2' = `at'[1,6] scalar `b11' = `at'[1,7] scalar `b12' = `b11' tempname t1 t2 scalar `t1' = `at'[1,8] scalar `t2' = `at'[1,9] quietly { tempvar toto gen double `toto' = `a1' * `lnp1' + `a2' * `lnp2' + `a11' * `a12' forvalues i = 1/2 { forvalues j=1/2 { replace `toto' = `toto' + `lnp`i'' * `lnp`j'' } } replace `w1' = `a1' + `a11' * `lnp1' + `b1'*`lnp2' + `b11' * (`lnm' - `toto') replace `w2' = `a2' + `a12' * `lnp2' + `b2'*`lnp2'^2 + `b12' * (`lnm' - `toto') replace `lnp2' = `t1' * `expfd' + `t2' * `p1' /*instrumentation equation*/ } end use http://www.stata-press.com/data/r10/food,clear nlsur test @ w1 w2 lnp1 lnp2 lnexp expfd p1 ,parameters(a1 a2 a11 a12 b1 b2 b11 ) neq(3) ifgnls * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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