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From |
"Jay Tuthill" <jtuthill@bfcwo.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Nonlinear GMM estimation |

Date |
Thu, 11 Nov 2010 14:46:27 -0500 |

Cannot say I am anything close to an expert in nonlinear GMM, but for a general engineering approach, am curious if you have tried plotting your first y against x1 term and fitting strictly this equation followed by plotting y against x1 and l1_x1 (assuming lag 1) and looking at your response surface to see if it shows unstable regions and again, fitting this 2 term equation and seeing how you make out. Of course, you have to guess at the parameters when you are beginning. In other words, work up to your full equations using reduced models. Even though the simpler models may have no meaning, solving them may give you clues to solving the full equation. Regards...Jay Tuthill -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of McLaughlin, David Sent: Wednesday, November 10, 2010 9:30 PM To: statalist@hsphsun2.harvard.edu Subject: st: Nonlinear GMM estimation Hi Everyone, Background I have been trying to Stata 11.1 to instrument for x1 in the following nonlinear equation using the gmm moment evaluator program: y={b0}*(1-exp({gamma0}*x1)+{b1}*(1-exp({gamma0}*l1_x1)+{b2}*(1-exp({gamm a0}*l2_x1)+{b3}*/// (1-exp({gamma0}*l3_x1)+{alpha}*x2 I created a moment evaluator program and called it with gmm (below): program gmm_dsm version 11 syntax varlist if, at(name) quietly { tempvar mu nu gen double `mu' =0 replace `mu' = `at'[1,1]*(1-exp(`at'[1,5]*x1))+ `at'[1,2]*(1-exp(`at'[1,5]*l1_x1)) + `at'[1,3]*(1-exp(`at'[1,5]*l2_x1))+ `at'[1,4]*(1-exp(`at'[1,5]*l3_x1))+ *`at'[1,6]*x2 replace `varlist' = y - `mu' } end gmm gmm_dsm if, nequations(1) parameters(b0 b1 b2 b3 gamma0 alpha) instruments(x1 l1_x1 l2_x1 l3_x1 _instrument x2, noconstant) vce(cluster id) onestep from(b0 -.00056 b1 -.0028 b2 -.00087 b3 -.004 gamma -83 alpha .05) Issue When I run call the program, it begins to run and then I receive the following error: "could not calculate numerical derivatives -- flat or discontinuous region encountered could not calculate numerical derivatives -- flat or discontinuous region encountered r(430);" Questions 1.) Can you use the moment evaluator function of gmm in Stata 11 to estimate an equation that is nonlinear in the parameters? 2.) Is there a way to replicate the nonlinear results produced by nl() using gm() for this equation considering I have more parameters than "instruments" (covariates)? Thanks in advance for any help you provide, Dave * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Nonlinear GMM estimation***From:*"McLaughlin, David" <mclaughlin@rff.org>

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