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From |
Alex Olssen <[email protected]> |

To |
[email protected] |

Subject |
st: Fixing nlsur restrictive identification requirements |

Date |
Mon, 9 May 2011 10:46:31 +1200 |

Dear Statalist, I have posted a couple of messages to the list pointing out that -nlsur- is using an overly restrictive identification constraint that sometimes results in failure to estimate doe to error 2001 - fewer observations than parameters. Who will be interested in this problem? One group is people estimating systems off annual time series data. For example in the AIDS demand model estimation if we have data on 5 expenditure shares (after dropping one equation) annually for 40 years then currently -nlsur- will not estimate a model with 8 regressors per equation - any general dynamic AIDS model will have at least this many regressors. However, such a system should be able to be estimated. I have implemented a very simple fix to this problem. I would be very happy to hear your thoughts as to my solution. Firstly I illustrate the problem and the solution using -sysuse auto- and then I describe the simple fix. You cannot run this all at once as it will error after the -nlsur- command which is exactly the problem I intend to fix - copying to the do-file editor and running line by line will work fine. ** demonstrating nlsur's restrictive identification requirements ** showing that nlsur2 fixes the problem sysuse auto, clear ** the identification problem requires relatively few observations keep in 1/10 ** it is well known that sur in a linear model without coefficient ** restrictions produces OLS equation by equation ** if we put a linear model into nlsur it should produce the same ** results as OLS equation by equation nlsur (length = {priceL}*price + {dispL}*disp + {turnL}*turn + {headL}*head + {trunkL}*trunk + {consL}) /// (weight = {priceW}*price + {dispW}*disp + {turnW}*turn + {headW}*head + {trunkW}*trunk + {consW}) ** nlsur will not estimate this model nlsur2 (length = {priceL}*price + {dispL}*disp + {turnL}*turn + {headL}*head + {trunkL}*trunk + {consL}) /// (weight = {priceW}*price + {dispW}*disp + {turnW}*turn + {headW}*head + {trunkW}*trunk + {consW}) ** nlsur2 will estimate the model ** comparing with OLS equation by equation we see that coefficient ** estimates are the same but the standard errors differ ** a finite sample correction is probably needed - and this sample ** is very finite reg length price disp turn head trunk reg weight price disp turn head trunk The solution is simply to adjust line 516 of the file nlsur.ado On a windows computer the default location is C:\Program Files\Stata11\ado\base\n\nlsur.ado Change line 516 from if r(N) < `np' { to if r(N)*`neqn' < `np' { Kind regards, Alex Olssen * * 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/

**Follow-Ups**:**Re: st: Fixing nlsur restrictive identification requirements***From:*"ABDULFATAH S, ADAM" <[email protected]>

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