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st: RE: broken stick (piecewise linear) regression

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: broken stick (piecewise linear) regression
Date   Thu, 31 Jan 2008 20:27:05 -0000

I don't understand what distinction is being made here. 

My understanding is that nonlinear least squares is one flavour of
numerical optimisation. Whether -nl- is an especially good way to
proceed with the broken stick problem I cannot say, but on the face of
it that is one clear solution. 

In any event Mata now includes much more on numerical optimisation than
was available in 2005, so Raphael has several approaches to choose from
in writing his program. 

I'll insert my own prejudice: it seems to me that if broken stick really
is an appropriate model, rather than something smoother, then the
breakpoint will be fairly obvious in any case, at least in terms of an
initial value. 

[email protected] 

Raphael Fraser

I saw a thread with the above subject line concerning
piecewise linear regression posted in 2005 on Statalist.
I am facing the same problem now; that of estimating the unknown
change point. Mention was made of using -nl- but it uses
least squares method. The only way to solve this problem
is numerical optimization. The problem can be solved
quite easily in SAS using NLIN PROC.
Is there a Stata solution?

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