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From |
David Ashcraft <ashcraftd@rocketmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Nonlinear regression syntax |

Date |
Sat, 19 Jan 2013 22:52:14 -0800 (PST) |

Thanks Nick, Sorry for the late response. If I calculate the algebraic expression independently (outside the model) and use the calculated number as a variable for parameter estimation using OLS method may resolve my issue and I shall get the parameter estimates for all three variables. In Stata language: gen a= (rg*(1+exp(-gamma*(moveave-ci)))^-1) reg rx rg a gfc, robust Now I am not sure, if I do the above, would it resolve the nonlinearity? If it does not, what would you recommend as an alternative?? David ----- Original Message ----- From: Nick Cox <njcoxstata@gmail.com> To: statalist@hsphsun2.harvard.edu Cc: Sent: Saturday, January 19, 2013 7:35:30 PM Subject: Re: st: Nonlinear regression syntax Thanks for this, but my answer is the same. {rg*(1+exp(-gamma*(moveave-ci)))^-1} is illegal, indeed meaningless, so far as -nl- is concerned. But nl (rx={rg}+{rg}*(1+exp(-gamma*(moveave-ci)))^-1}+{gfc}) looks legal from what you say. It can be re-written, I think, as nl (rx={rg} * (1+ 1/(1+exp(-gamma*(moveave-ci)))+{gfc}) leaving two parameters to estimate. I haven't read the paper you cite, but it seems to me your interest in a more complicated expression depending partly on parameter estimates is, as it were, downstream of this and the first job is estimating those parameters. -nl- often needs initial values for parameters to do a good job, or even to converge at all. Nick On Sat, Jan 19, 2013 at 3:18 PM, David Ashcraft <ashcraftd@rocketmail.com> wrote: > Thanks Nick, > > when I said constant in the previous e-mail, I meant that the value of gamma and ci is fixed. however, both are defined as variables. I have generated both variables by following: > > Woodward, G., & Anderson, H. M. (2009). Does beta react to market conditions? Estimates of “bull” and “bear” betas using a nonlinear market model with an endogenous threshold parameter. Quantitative Finance, 9(8), 913–924. doi:10.1080/14697680802595643 > > > In short gamma, ci, rg and moveave are variables. Complete algebraic expression that I want to solve is > {rg*(1+exp(-gamma*(moveave-ci)))^-1} where rg is multiplied with the inverse of the expression within parenthesis. I want to estimate three parameters: rg, algebraic expression and gfc > > if I don't use -nl- what would be the alternatives? > Regards > > David > > > > ----- Original Message ----- > From: Nick Cox <njcoxstata@gmail.com> > To: statalist@hsphsun2.harvard.edu > Cc: > Sent: Saturday, January 19, 2013 4:19:16 PM > Subject: Re: st: Nonlinear regression syntax > > You have > > {rg*(1+exp(-gamma*(moveave-ci)))^-1} > > That will make no sense to -nl-. The most basic syntax for braces { } > is that braces must enclose parameter names only. There are other > possibilities but they do not cover your syntax. > > {rg}*(1+exp(-gamma*(moveave-ci)))^-1 > > would make sense if and only if the names > > gamma > moveave > ci > > are names of variables (or possibly names of known scalars). > > You need to tell us what your model is, distinguishing variables, > known scalars if any and parameters to be estimated. > > Nick > > On Sat, Jan 19, 2013 at 12:39 PM, David Ashcraft > <ashcraftd@rocketmail.com> wrote: > >> rg, algebraic expression and gfc are parameters to be estimated and that's why I used braces {}. gamma and ci are constants. in the first line: rg and moveave are variables where moveave is the quarterly moving average of rg. >> >> You mentioned that a brace is omitted. I do not see the omitted brace. Can you please point out the missing brace in the following? >> >> nl (rx={rg}+{rg*(1+exp(-gamma*(moveave-ci)))^-1}+{gfc}) > > Nick Cox <njcoxstata@gmail.com> > >> Did you type _exactly_ the first line? If "rg" is a parameter to be >> estimated, then a brace "}" has been omitted. Is "gamma" really a >> variable as implied by your syntax? >> >> In general, there seems confusion here over algebraic conventions and >> Stata rules. In algebra you can use braces { } using similar rules to >> parentheses () and brackets []: i.e. they are all delimiters and must >> just match and nest logically. But in -nl- expressions braces {} have >> a special meaning to indicate parameters to be estimated and makes no >> sense otherwise. >> >> Nick >> >> On Sat, Jan 19, 2013 at 11:12 AM, David Ashcraft >> <ashcraftd@rocketmail.com> wrote: >>> I want to run the following model as a non-linear regression: >>> >>> nl (rx={rg}+{rg*(1+exp(-gamma*(moveave-ci)))^-1}+{gfc}) >>> >>> where rx is dependent variable. when I run this model Stata gives the error code: r(480); starting values invalid or some RHS variables have missing values >>> >>> >>> As a second option, I solved the non-linear function outside the equation by having a new variable fm={rg*(1+exp(-gamma*(moveave-ci)))^-1} and run again: >>> >>> nl (rx={rg}+{fm}+{gfc}) >>> >>> Now I get the results with omitted values for fm. >>> >>> I don't know where is my mistake. Any help will be greatly appreciated. * * 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/ * * 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: Nonlinear regression syntax***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: Nonlinear regression syntax***From:*David Ashcraft <ashcraftd@rocketmail.com>

**Re: st: Nonlinear regression syntax***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Nonlinear regression syntax***From:*David Ashcraft <ashcraftd@rocketmail.com>

**Re: st: Nonlinear regression syntax***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Nonlinear regression syntax***From:*David Ashcraft <ashcraftd@rocketmail.com>

**Re: st: Nonlinear regression syntax***From:*Nick Cox <njcoxstata@gmail.com>

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