Econometric analysis Instrumental Variables参考.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * A NIST Application Y X 2.138 1.309 3.421 1.471 3.597 1.490 y = ?0 + ?1x?2 + ?. 4.340 1.565 4.882 1.611 xi0 = [1, x?2, ?1x?2logx ] 5.660 1.680 Iterations NLSQ;LHS=Y ;FCN=b0+B1*X^B2 ;LABELS=b0,B1,B2 ;MAXIT=500;TLF;TLB;OUTPUT=1;DFC ;START=0,1,5 $ Begin NLSQ iterations. Linearized regression. Iteration= 1; Sum of squares= 149.719219 ; Gradient= 149.718223 Iteration= 2; Sum of squares= 5 ; Gradient= 5Iteration= 3; Sum of squares= .137768222E-01; Gradient= .125711747E-01 Iteration= 4; Sum of squares= .186786786E-01; Gradient= .174668584E-01 Iteration= 5; Sum of squares= .121182327E-02; Gradient= .301702148E-08 Iteration= 6; Sum of squares= .121182025E-02; Gradient= .134513256E-15 Iteration= 7; Sum of squares= .121182025E-02; Gradient= .644990175E-20 Convergence achieved Stata – Version 9 Most maximum likelihood estimators now test for convergence using the Hessian-scaled gradient, g*inv(H)*g. This criterion ensures that the gradient is close to zero when scaled by the Hessian (the curvature of the likelihood or pseudolikelihood surface at the optimum) and provides greater assurance of convergence for models whose likelihoods tend to be difficult to optimize, such as those for arch, asmprobit, and scobit. See [R] maximize.  Results +-----------------------------------------------------------------------+ | User Defined Optimization | | Nonlinear least squares regression Weighting variable = none | | Number of iterations completed = 30 | | Dep. var. = Y Mean= 4.006333333 , S.D.= 1.233983576 | | Model size: Observations = 6, Parameters = 3, Deg.Fr.= 3 | | Residuals: Sum of squares= .1211820252D-02, Std.Dev.= .02010 | | Fit: R-squared=