> Date: Wed, 07 Nov 2007 13:48:24 +0100
> From: Dimitris Pavlopoulos <[email protected]>
> Subject: st: Error component models
>
> Dear statalisters,
>
> I want to run an error component model for earnings in the framework
> of Ramos (2003), Cappellari (2004), Dickens (2000). These models
> extend the typical random effects model
>
> y_it = m_i + e_it
>
> by applying several specifications to the individual effects m_i
> (random walk, random growth) and to the error term e_it
> (AR(1) or ARMA
> models). An example is the following model of Ramos (2003):
<snip>
> These models are estimated with the use of minimum distance
> estimation. Estimation of some these models is possible in SAS. Does
> anyone know how to estimate them in STATA? Is there any module for
> them? I have found references to an old module from L. Cappellari
> (mindist) that was presented in one Stata meeting but it does not
> appear anywhere. Moreover, from what I understand it does not cover
> all the usual specifications that are used in the literature.
As far as I know, all of Xavi Ramos's and Lorenzo Cappellari's
estimations used -nl- to fit the different models. (Martin Biewen did
it slightly differently -- he used -ml-, I think.)
The idea is to multiply out the matrix equations and ones a big
non-linear equation in the moments, with a different -nl- equation for
each type of model.
Note the appearance of -nlsur- in Stata 10. At first glance, this
module might provide an easier route to estimate these models, but I
have not had time to check this yet.
Stephen
-------------------------------------------------------------
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