st: Re: nonlinear constrained estimation and "makecns"

[Kit Baum <baum@bc.edu>]

First this is not a simultaneous system, as Y1 and Y2 only appear on  
the LHS. So it is a problem for SUR, not 3SLS, as all variables on  
the RHS are exogenous in the system you describe.

Second 'makecns' will not do any good for nonlinear constraints. It  
is appropriate for y = X b + u s.t. R b = r, where you want to make  
the matrix R and vector r. Nonlinear  constraints cannot be handled  
by this framework.

Third it should be straightforward to do this with the -nlsur-  
command, as it is specifically designed to handle nonlinear systems  
of non-simultaneous equations.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Apr 28, 2008, at 02:33 , Francesco wrote:

> I am estimating a model of simultaneous equations and I have to  
> impose some
> nonlinear constraints on the parameters. Here is an example of what  
> I have
> to estimate:
>
> Y1=X1*b1+X2*b2+X3*b3
> Y2=X1*t1+X2*t2+X3*t3
>
> The nonlinear constraints I want to impose on this model are of  
> this type:
> t1/b1=t2/b2
>
> I am estimating the model using 3SLS.
>
> Here is the question: How can I easily impose those constraints? Is  
> there an
> easier way than going through the "makecns" programming?? If I have  
> to go
> through the programming, how do I specify/create the constraint  
> matrix?
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