Dear Stata experts,
I am a newbie and would like to estimate the nonlinear parameterised demand system with endogeneity problem. Basically, my model is
q1(i)=a1*g+b1*p1(i) +a1*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i))
q2(i)=a2*g+b2*p2(i) +a2*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i))
q3(i)=a3*g+b3*p3(i) +a3*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i)).
Conditions are a1+a2+a3=1
The endogenous variables are p1, p2, p3 and instruments are z1,...,z12.
I know how to use nlsur to estimate this demand system if all variables are exogenous. However, I have no idea how to use it with endogenous variables. I tried gmm but it seems does not work for nonlinear parameter model even though it does work for exponential functions. The command reg3 only for linear parameter model so it is useless in my case.
Is there anyone know how to estimate my model?
With best regards,
Son
I am a newbie and would like to estimate the nonlinear parameterised demand system with endogeneity problem. Basically, my model is
q1(i)=a1*g+b1*p1(i) +a1*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i))
q2(i)=a2*g+b2*p2(i) +a2*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i))
q3(i)=a3*g+b3*p3(i) +a3*(d*m(i)-b1*q1(i)-b2*q2(i)-b3*q3(i)).
Conditions are a1+a2+a3=1
The endogenous variables are p1, p2, p3 and instruments are z1,...,z12.
I know how to use nlsur to estimate this demand system if all variables are exogenous. However, I have no idea how to use it with endogenous variables. I tried gmm but it seems does not work for nonlinear parameter model even though it does work for exponential functions. The command reg3 only for linear parameter model so it is useless in my case.
Is there anyone know how to estimate my model?
With best regards,
Son
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