NL

The NL command estimates non-linear models.

In general, the format is:

  NL neq exogs / NCOEF= options
  EQ equation
  COEF values
  END

where exogs are the list of instrumental variables for N2SLS or N3SLS.

The available options are:

Option Description
ACROSS Corrects for autocorrelation across equations as well as within a single equation.
AUTO Corrects the equations for first-order autocorrelation or for higher order if specified on the ORDER= option.
DRHO Gives a different value of rho for each equation.
DUMP Dumps the internal code that SHAZAM has generated for the EQ commands.
EVAL Evaluates the likelihood function for the starting value prints out the answer without doing any estimation if ITER=0 is specified.
GENRVAR Takes a vector of coefficients and generates a set of scalar variables.
LOGDEN Tells SHAZAM that the equation given on the EQ command is the LOG-DENSITY for a single observation.
MAXFUNC Maximizes the function given on the EQ command.
MINFUNC Minimizes the equation given on the EQ command.
NOCONEXOG Do not include a constant in the list of exogs variables.
NOPSIGMA Suppress printing of the sigma matrix.
NUMCOV Uses numeric difference method to compute derivatives in the algorithm.
NUMERIC Uses the numeric difference method to compute derivative used in the algorithm.
OPGCOV Uses the outer-product of the Gradient method to compute the covariance matrix.
PCOV Prints an estimate of the covariance matrix of coefficients after convergence.
SAME Will run the previous NL regression without repeating the EQ commands.
SOLVE Solves the equations given on the EQ command as a set of nonlinear simultaneous equations.
AUTCOV= Lag length used with the GMM= option.
CONV= Specifies the convergence criterion for the coefficients.
IN= Reads back the coefficients that were saved with the OUT option.
ITER= Specifies the maximum number of iterations.
GMM= Specifies the weighting matrix for Generalized Method of Moments estimation.
GMMOUT= Saves the weighting matrix in the variable specified. This option is available with GMM=HETCOV, BARTLETT, TRUNC, QS, PARZEN or TUKEY.
METHOD= Default is Davidon-Fletcher-Powell algorithm. An alternative is the Broyden-Fletcher-Goldfarb-Shanno (BFGS).
NCOEF= Specifies the number of coefficients to be estimated.
ORDER= Specifies the order of autocorrelation to be corrected for when the AUTO option is used.
OUT= Writes out on unit 3 the values of the coefficients after each iteration. Useful for restarting the model in another run with the IN option described above.
PITER= Specifies the frequency with which iterations will be printed.
SIGMA= Saves the sigma matrix in the variable specified.
START= Uses the values in the specified variable as starting values for the estimation.
STEPSIZE= Specifies the stepsize to use with the NUMCOV option to control the differential in numeric derivatives.
ZMATRIX= Specifies a matrix to create and use to store the derivatives of the nonlinear function.

Other available options are:
LIST, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO= as described for OLS.