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st: re: estimate a nonlinear system of equations

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: re: estimate a nonlinear system of equations
Date   Wed, 19 Dec 2007 14:52:32 -0500

I can estimate each equations separately using nl. However, when I try
to estimate the system using the same syntax as linear estimation for a
system of equations, I get a varlist error. What is the syntax or how
do you estimate a non-linear system of eqation in Stata 9.0?

You don't. You might find that the Stata 10 command -nlsur- will do the job.

In Stata 9.x, you could use -ml- if you are willing to make distributional assumptions. That is, you would have to write down the likelihood function of the system. See any econometrics textbook re FIML.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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