Does any of you have any idea on how to implement the
following constraint on a nonlinear regression model?
The regression model:
R(t) - R(t-1) =
[lamdau*I(t)+lamdad*(1-I(t)]*[beta*r(t) + gamma -
R(t-1)] + error(t)
The constraint that defines the indicator variable
I(t) above:
I(t) = 1 if beta*r(t) - R(t-1) + gamma > 0
I(t) = 0 if beta*r(t) - R(t-1) + gamma < 0
The model and the constraint need to be estimated
simultaneously using nonlinear least squares but I
can't get the constraint set up properly in STATA.
I'd appreciate your inputs on this. Thanks.
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