Dear Statalist
I want to test nonlinear combination of estimators. i know the command for it is "nlcom," but i am in trouble because "nlcom" is not available in my case because the expressions which follow "nlcom" in the syntax are too long.
my method is as follows:
First, I estimated the following system equations by three stage least squares.
A(t)=aX(t)+cA(t-1)////////////////////////eq. (1)
A(t): 7*1 dependent variables in period t
a: 7*24 parameters
X(t): 24*1 independent variables in period t
c: 7*7 parameters
A(t-1): 7*1 independent variables in period (t-1)
eq.(1) indicates the SHORT run effects, and i can test "a" and "c." this is easy.
Second, I want to obtain the LONG run effects.
assuming A(t)=A(t-1), eq.(1) becomes
A(t)=inv(I-c)aX(t)///////////////////////// eq.(2)
Finally, I want to test each element of "inv(I-c)a" using the estimation results of eq.(1).
each element of "inv(I-c)a" is nonlinear combination of estimators obtaind in eq.(1).
so generally, it is normal to use "nlcom," but the expression of each element in "inv(I-c)a" is too long to be available in "nlcom."
could anyone tell me how to test each element of inv(I-c)a???
yoshi
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