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Re: st: GMM estimation.


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM estimation.
Date   Thu, 3 Jan 2013 19:36:33 +0000

I will just address Usman Gilani's comments on my original #1 and #3:

1. Al's re-parameterisation is not one-to-one. It would be pointless
if it were, at most a change of symbolism or notation. If you want to
insist on your parameterisation, you can't do what he suggests, but
estimation is going to be way more difficult.

3. I can't help here on literature -- as I signalled, this is not my
field -- but you should note that your code is not postulating the
same error structure as your equations.

Nick

On Thu, Jan 3, 2013 at 7:22 PM, Usman Gilani <u.gilani@icloud.com> wrote:
> Thanks everyone,
>
> @JVVerkuilen yeah it's quite challenging for me as i'm new to econometrics and Stata. I'm already following your advice. and I'll update statalisters  as soon as i manage to run this model.
>
> @Nick, thanks for your reply.
> 1. Well i'm not ignoring Al advice, I just didn't get how he did the reparametrization of the model. if i follow his model that has 7 parameters {A0..A6} where {A0} = {a0}*{a1} etc. then how i can tell Stata that parameter {A0} is a product of two parameters i.e. {a0}*{a1}.
>
> 2. I'm following JVerkuilen method of running the simple model.
>
> 3. the error term  DP*{a0}*e_(it). i get after substituting eq.(2) and eq.(3) in eq(1).  and this is quite new to me that the error term is consisting of variable and a parameter. I have seen some models in which error term is depending on parameter but could't find this case ( in which error term is depending on variable and a parameter).
> If you have seen any research paper with this kind of model please let me know.
>
> 4. I'm quiet new to econometrics this thing is holding me understanding the model. So I'm studying hard to understand the theory behind it.
>
> regards,
> Gilani.
>
>
>
>
>
> On 3 Jan 2013, at 18:36, JVerkuilen (Gmail) <jvverkuilen@gmail.com> wrote:
>
>> On Thu, Jan 3, 2013 at 6:30 AM, Usman Gilani <u.gilani@icloud.com> wrote:
>>
>>> 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
>>
>> As I said previously, this model is so complex it's next to impossible
>> to diagnose what's going wrong. You have so many failure points
>> there's no telling where it's breaking. Just a guess but I suspect
>> that it's unidentified, but tracking that down will not be easy. It
>> could also be that you are giving it bad starting values and it's
>> diverging.
>>
>> Simplify dramatically and build up. Find an example of the kind of
>> model you want to run that has only one or two variables in it using
>> data that you know work. Never mind that it's not the model you want
>> to run. Gain experience with specifying it in -gmm- syntax and seeing
>> situations of what a working model looks like and then translate that
>> over to a one or two variable subset of your data. Then build up to
>> the model you want to run. If it crashes on only one or two variables
>> then it's not identified. If it starts diverging or performing badly
>> as you add variables, chances are good that you have an empirical
>> identification issue (i.e., insufficient data). You can explore this
>> by using simulated datasets.
>>
>> If you look at how Stata estimates a model such as -xtmelogit- it does
>> exactly this strategy to generate good starting values.
>>
>> Yes, this seems like a pain in the zxx, but it's the only thing that
>> works. These kinds of nonlinear models are simply not easy to work
>> with and require a lot from the user.

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