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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 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. * * 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/

**Follow-Ups**:**Re: st: GMM estimation.***From:*Usman Gilani <u.gilani@icloud.com>

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

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

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

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