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st: GMM estimation.


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,

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))+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



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