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Re: st: nlcom from several estimations

From   John Antonakis <>
Subject   Re: st: nlcom from several estimations
Date   Mon, 08 Feb 2010 14:46:40 +0100


If by models you mean different groups (i.e., datasets), then try "stacking" the data with suest :

reg y x1 x2 x3 x4 if group==1
est store mod1
reg y x1 x2 x3 x4 if group==2
est store mod2
reg y x1 x2 x3 x4 if group==3
est store mod3
reg y x1 x2 x3 x4 if group==4
est store mod4

suest mod1 mod2 mod3 mod4

Then you can do what you want across equations, e.g. (to test ,

nlcom [mod1_mean]_b[x1]*[mod1_mean]_b[x2] + [mod2_mean]_b[x1]*[mod2_mean]_b[x2]

You can also use testln:

testnl [mod1_mean]_b[x1]*[mod1_mean]_b[x2] = [mod2_mean]_b[x1]*[mod2_mean]_b[x2]



Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

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Personal page:

On 08.02.2010 14:32, Valerie Orozco wrote:

I have to estimate some nonlinear combinations of parameters estimated from several models.
More precisely, I estimated 4 models (4 systems of equations) and have the corresponding matrix of estimated parameters (b1, b2, b3 and b4) and each corresponding variance covariance matrix (V1, V2, V3, V4). I want to estimate combinations of these parameters coming from these 4 estimations. The problem is that, with "nlcom", it has to be from only one estimation.

So, my first idea was to build two new matrix (b and V) making Stata believes it comes from only one estimation : - b : just appending b1,b2, b3 and b4 horizontally
- V : a block diagonal matrix (each block being V1, V2, V3 and V4)
- but of course, some elements of this V block diagonal matrix are missing

Another idea I had was to use "eststo" and "estout" commands but it seems the matrix stored correspond to the last estimation.

Do you have some better ideas to help me?

Many thanks.


Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, allée de Brienne
F-31000 Toulouse, France

MA 101
+33 5 61 12 85 91

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