Bjorn,
I am perhaps misunderstanding your model.
Here is a code snippet you can paste into to Stata and run.
****************Begin do file********************
webuse lutkepohl
*** Estimate consumption=a+b*(c*income[_n-1]+invest)
*** The reduced form is consumption=a + d*l.income + b*investment
*** This is what we will estimate with Stata
regress consu l.income invest
*** From these estimates, we can recover parameter c.
*** Since d=b*c, we have c=d/b
*** In Stata speak this is _b[l.income]/_b[investment]
nlcom (_b[l.income]/_b[investment])
*************End do file
Does that accomplish your task?
Let me know.
Ed
On Mon, 2005-10-10 at 13:47 -0400, [email protected] wrote:
Hi Ed,
Thank you for your reply. Your Option 2 sounds very promising and I
would be very grateful for any hints and advice you might have on how
to use it.
(As I understand it, I cannot use Option 1 because the variable Z is
unobserved. Since it depends on the unknown coefficient c, the
variable Z must somehow be generated as a part of (that is,
simultaneously as) the estimation of the regression equation
y = a + b*(c*Z[_n-1] + x))
Please let me know if this is not clear, and thanks for your help!
Best Regards
Bjorn
Quoting Ed Blackburne <[email protected]>:
> Bjorn,
>
> My understanding is that you want to estimate an equation of the form
> (it doesn't much matter whether it is Z or Z[_N-1] for this post):
>
> y=a+b(cZ+x)
>
> Is this correct?
> If so, I see two options.
>
> Option 1: Estimate y=a+dZ+bx and use nlcom to recover c:
> nlcom _b[Z]/_b[x]
>
> Option 2: You can estimate via conditional likelihood (aka profile
> likelihoods) using the undocumented hold option of ml.
>
> If you would like a pointer at Option 2 let me know.
>
> -Ed
>
>
> On Sun, 2005-10-09 at 12:59 -0400, [email protected] wrote:
>> Dear Statalist,
>>
>> I am trying to estimate a nonlinear regression equation using the ml
>> routine, and I am having problems defining one of my input variables.
>> Specifically, I would like to use the recursively defined variable
>> Z(it):
>>
>> Z(it) = c*Z(it-1) + X(it)
>>
>> as an independent variable in my regression equation. If the
>> coefficient "c" is known, this variable can be generated as follows:
>>
>> gen Z = X
>> bysort group (time): replace Z = c * Z[_n-1] + X if _n >= 2
>>
>> My problem is that I would like to estimate the coefficient "c" (along
>> with the other regression coefficients) and therefore I need to define
>> the variable Z(it) "within" the program itself.
>>
>> It seems, however, as if the "by" command and the "if" command are not
>> allowed when specifying variables in the ml programs. I would be most
>> grateful if anyone would have any ideas on how to do this.
>>
>> Thank you for your help.
>>
>> Best
>> Bjorn
>>
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
