On Fri, 28 Jan 2011, GREg Ory wrote:
> Dear Gretl community,
>
> I need some tips on estimating panel data using nonlinear switching
> regression technique.
Is this what you have in mind?
<script>
set echo off
set messages off
function series GDV(series x, scalar m, scalar s)
series den = exp(pi*(m-x)/(s*sqrt(3)))
return 1/(1+den)
end function
# open the dataset
open gretl_plant.gdt
#rescale stuff a little to avoid numerical problems
Price /=100
HHI *= 100
Domestic_Sales /= 10000
Export_Sales /= 10000
Total_import /= 10000
# initialisation
scalar m = mean(HHI)
scalar s = sd(HHI)
series Log = GDV(HHI, m, s)
series e = (Price - Log)
list X = const Domestic_Sales Export_Sales Soda PCFT Total_import
ols e X -q
b = $coeff
# do NLS
nls Price = lincomb(X,b) + Log
series Log = GDV(HHI, m, s)
params b m s
end nls -q
# print out results with some nice formatting
matrix cf = b | {m; s}
matrix se = sqrt(diag($vcv))
vnam = varname(X) ~ ",mu,sigma"
cfse = cf ~ se
modprint cfse vnam
</script>
HTH,
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
