Alvaro,
I have some ml routines that can be easily modified (famous last words)
to estimate the parameters in your model except for the handling of IV.
If interested, I can work up an example with the code for the model
y=beta1*y(t-1)+(1-beta1)*(beta2+beta3*x1)+epsilon
and see if that helps get you on your way.
Ed
On Wed, 2006-02-22 at 17:47 +0000, alvaro wrote:
> Dear colleagues,
> I need to estimate a non-linear model with gmm.
> the model is of the following type:
>
> y=beta1*y(t-1)+(1-beta1)*(beta2+beta3*x1)+epsilon
>
> with instruments: c x1(t-1) and so on.
>
> Is there any built in facility in Stata to perform this regression?
>
> Cheers,
>
> Alvaro
>
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