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Re: st: RE: nonlinear regression using GMM

From   Usman Gilani <>
Subject   Re: st: RE: nonlinear regression using GMM
Date   Wed, 02 Jan 2013 15:35:11 +0000

Dear Al Feiveson,

thanks that is really helpful. 
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

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


please suggests me how can I perform this estimation 



On 2 Jan 2013, at 14:30, "Feiveson, Alan H. (JSC-SK311)" <> 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:

E(Y'|lr1, DP, etc.) = A0*w1*DP + A1*DP*lr1 + A2*DP*w2 + A3*DP*w3 + A4*DP*y1 + A5*DP*y2 + A6*DP*y3

where Y' = Y - lr1 and where A0 = {a0}*{a1}, A1 = {a0}, A2 = {a0}*{a2},  etc.

Thus, you have a an equation that is linear in 7 parameters (A0, A1, .., A6)

Al Feiveson

From: [] On Behalf Of Usman Gilani
Sent: Wednesday, January 02, 2013 5:39 AM
Subject: st: nonlinear regression using GMM

Dear members,
I have a panel data (unbalanced) and want to run a nonlinear regression using GMM.
my nonlinear equation looks like as follow
 can i do this in STATA 12. I'm new to stata. It would be great if anybody help me doing this analysis. 


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