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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: GMM estimation. |

Date |
Thu, 3 Jan 2013 12:01:52 +0000 |

It seems to me that while you thank Al for his help you are ignoring his advice without explaining why it is a bad idea or even irrelevant as far as you are concerned. I have no idea what partial adjustment models are, but some other comments are possible for me. 1. The bottom line here in this posting is the error message could not calculate numerical derivatives --flat or discontinuous region encountered which is the same as that in a previous thread you started at http://www.stata.com/statalist/archive/2012-12/msg00973.html and so one response is to refer you to that thread. Jay Verkuilen gave excellent advice, which again you are ignoring. 2. What you typed is legal as far as -gmm- is concerned, but on a quick glance you are not specifying to -gmm- that what looks like an error term DP*{a0}*e_(it) depends on one of the parameters and one of the variables. Again, I think you need to explain why you did this. GMM experts may wish to comment. 3. As you make clear you are estimating 7 parameters, and what's more, they are tangled up with each other. That's a tough call at the best of times, even without the fact that your model fit does not converge. That point seemed to underline Al's advice. 4. The spelling is "Stata". Nick On Thu, Jan 3, 2013 at 11:30 AM, Usman Gilani <u.gilani@icloud.com> wrote: > 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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

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