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From | "McLaughlin, David" <mclaughlin@rff.org> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Nonlinear GMM |
Date | Fri, 12 Nov 2010 14:51:03 -0500 |
Hi All, I was able to estimate the following equation in nl(), but replicating these results using gmm() in Stata 11.1 has proved difficult. 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 Can the moment evaluator program version of gmm() estimate this nonlinear function? Note that: 1) it is nonlinear in the parameters; 2) there are more parameters than covariates; 3) and the gamma0 parameter appears with x1 and its lags (l1_x1, l2_x1 and l3_x1). My goal is to replicate the results of the nl() estimation prior to using gmm() to instrument for x1. Thanks, Dave David McLaughlin Research Assistant Resources for the Future 1616 P Street NW Washington, D.C. 20036 202-328-5138 * * 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/