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st: nl command with FGLS estimator?


From   Jordan Silberman <silberman.stata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: nl command with FGLS estimator?
Date   Thu, 17 Jan 2013 14:28:38 -0500

Hi,

I'm using the following nl command to estimate the location of a
single knot in a piecewise regression model:

nl (coef = ({cons} + {b1}*age)*(age < {c}) + ///
  ({cons} + {b1}*{c} + {b2}*(age-{c}))*(age >= {c}))

My question is this: is it possible to estimate this model in Stata
with a feasible generalized least squares (FGLS) estimator? I ask
because the DV in this model is a set of coefficients from a large
number of OLS regressions, and FGLS has been recommended in these
types of situations (eg, Achen, 2005, Political Analysis journal).

Any advice would be appreciated.

Thanks,
Jordan
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