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From |
Usman Gilani <u.gilani@icloud.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: nonlinear regression using GMM |

Date |
Wed, 02 Jan 2013 15:35:11 +0000 |

Dear Al Feiveson, below is the complete model that i'm interested in actually its a partial adjustment model y_(it)= (1-{b0})*y_(i.t-1)+{b0}*y*_(it) eq(1) where y*_(it) is the desired value, y*_(it)={a1}*w1_(it)+{a2}*w2_(it)+{a3}*w3_(it)+{a4}*w4_(it)+{a5}*w5_(it)+{a6}*w6_(it)+e_(it) eq(2) {b0} is the speed of adjustment coefficient, which is a function of {b0}=(a0)*DP_(it) eq(3) after substituting eq.(2) and eq.(3) in eq(1) i get the following y_(it) = ({a0}*{a1}*w1_(it)*DP+(1-{a0}*DP)*y_(i,t-1)+{a0}*{a2}*DP_(it)*w2_(it)+{a0}*{a3}*DP_(it)*w3_(it)+{a0}*{a4}*DP_(it)*w4_(it)+{a0}*{a5}*DP_(it)*w5_(it)+{a0}*{a6}*DP_(it)*w6_(it))+e_(it) so this the final model with following 7 unknown parameters {a0,a1…,a6} now i'm interested in estimating the above model with GMM in STATA 12. i'm putting the following equation in stata GMM equation box ({a0}*{a1}*w1*DP+(1-{a0}*DP)*lr1+{a0}*{a2}*DP*w2+{a0}*{a3}*DP*w3+{a0}*{a4}*DP*y1+{a0}*{a5}*DP*y2+{a0}*{a6}*DP*y3) please suggests me how can I perform this estimation thanks, regards Gilani On 2 Jan 2013, at 14:30, "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> wrote: Usman -I assume what you have written is the right-hand side of E(Y|DP, lr1, etc.) where Y is your dependent variable. If so, this looks linear to me if you re-parameterize as follows: |

**References**:**st: nonlinear regression using GMM***From:*Usman Gilani <u.gilani@icloud.com>

**st: RE: nonlinear regression using GMM***From:*"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>

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