Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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

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

Subject |
st: GMM estimation. |

Date |
Thu, 03 Jan 2013 11:30:26 +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))+DP*{a0}*e_(it) so the final model has 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*w4+{a0}*{a5}*DP*w5+{a0}*{a6}*DP*w6) my question, is that the correct way to input the equation ? because STATA giving me the error message "could not calculate numerical derivatives -- flat or discontinuous region encountered" please suggests me how can I perform this estimation thanks, regards Gilani |

**Follow-Ups**:**Re: st: GMM estimation.***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**Re: st: GMM estimation.***From:*Nick Cox <njcoxstata@gmail.com>

- Prev by Date:
**RE: st: year variables in xtabond** - Next by Date:
**Re: st: GMM estimation.** - Previous by thread:
**Re: st: re: Mplus 7 and Stata 12** - Next by thread:
**Re: st: GMM estimation.** - Index(es):