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Re: st: Nonlinear ARMAX model


From   "Sebastian van Baal" <[email protected]>
To   <[email protected]>
Subject   Re: st: Nonlinear ARMAX model
Date   Tue, 9 Mar 2010 17:55:14 +0100

Thank you both for your suggestions! My case appears to be different. I
attempt to estimate a model such as this one: 

y[t]=b0+x[t]^b1+u[t]

u[t]=b2*u[t-1]+e[t]

My problem is more complicated and prevents me from linearizing it. 

In Eviews, I would enter something like this: 

y[t]=b0+x[t]^b1+u[t]+[AR(1)=b2]

Can I enter something like this in Stata?

Best regards
Sebastian

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