You could use a -capture- loop within your program simPTM1. You could
also use the iterate() option of nl to limit the number of iterations,
if the default of 16000 iterations takes too long.
program simPTM1, eclass
drop _all
set more off
set obs 20
gen time=_n-1
/* set parameters to be estimated */
gen m=1000
gen type1Sh=.4
gen q=.5
gen p=.1
/* generate dependent variable according to nonlinear model */
gen
CumSales=m*(1-type1Sh*(exp(-p*time)-(exp(-q*time)*exp(q/p*(1-exp(-p*time)))))-(exp(-q*time)*exp(q/p*(1-exp(-p*time)))))
gen Sales=CumSales[_n]-CumSales[_n-1]
replace Sales=CumSales if time==1
/* generate shock and dependent variable which enters estimation*/
gen shock1=1+0.1*invnorm(uniform())
gen RealSales=Sales*shock1
/* estimate model*/
capture{
nl PTM1SalR RealSales
/* or e.g.
nl PTM1SalR RealSales,iterate(200)
*/
}
if e(converge)==1{
scalar define bM=_b[EM]
scalar define bP=_b[EP]
scalar define bQ=_b[EQ]
scalar define bTH=_b[ETH]
scalar define rmse=e(rmse)
scalar define rsq=e(r2)
scalar define iter=e(ic)
scalar define Dconv=e(converge)
}
else if e(converge)==0{
/* return something else */
}
end
