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st: Iteratively re-weighted least squares (IRLS)


From   Richard Sperling <[email protected]>
To   [email protected]
Subject   st: Iteratively re-weighted least squares (IRLS)
Date   Thu, 5 Apr 2007 23:03:29 -0400

I would like to use Stata (9.2 SE) to estimate the following inherently non-linear function by IRLS:

C = (a + b*X^g)*e,

where e is multiplicatively normal with mean 1 and standard deviation 0.15. I cannot use -nl- to estimate this function because it assumes that the error term enters additively. One suggestion I have received is to take logs of both sides:

ln(C) = ln(a+b*X^g) + ln(e).

Is there an alternative way of estimating this equation?

Thanks,
Richard
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