st: re: nonlinear constrained estimation and "makecns"

[Kit Baum <baum@bc.edu>]

fm514 said

I'm sorry, probably I just made things a bit uclear in the attempt of
simplifying my question too much. I just wanted to focus the  
attention on
those two equations. I am not sure I can use SUR since I am  
instrumenting X3
in the model.


Given the model

> Y1=X1*b1+X2*b2+X3*b3
> Y2=X1*t1+X2*t2+X3*t3

If you are 'instrumenting X3' then it is either (a) Y1 or Y2, or (b)  
you have not written down the full simultaneous system. For X3 to be  
endogenous in a simultaneous system, you must have an equation in  
which it appears on the LHS.

Suggest you write down the full system which you are trying to  
estimate. It may be that the suggested MLE approach (i.e. FIML) is  
the only way to address this problem, if these equations are truly  
simultaneous and subject to nonlinear constraints across equations.



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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