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st: re: estimate a nonlinear system of equations
I can estimate each equations separately using nl. However, when I try
to estimate the system using the same syntax as linear estimation for a
system of equations, I get a varlist error. What is the syntax or how
do you estimate a non-linear system of eqation in Stata 9.0?
You don't. You might find that the Stata 10 command -nlsur- will do
the job.
In Stata 9.x, you could use -ml- if you are willing to make
distributional assumptions. That is, you would have to write down the
likelihood function of the system. See any econometrics textbook re
FIML.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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