Dear colleagues, I want to use nonlinear regression to get lambda, a and b from the equation showed in attachment. I have the datasets for Rt and rt. I try to use nl function in STATA but failed. I wonder if anyone can help me. Thank you!
Your data is in R did you think of using an R program. One exists in the z-library in the attached screenshot of the book that contains it..All you must do is type it in and execute it. David Booth
David Eugene Booth Thanks for your reply. It's my fault that I didn't make it clear. I have the time-series datasets for capital R (which means stock raw returns).
Did you realize that R can read anything. Read data entry and cut and paste. Should do it well whatever method you want and there are several to chose from. David Booth
Dear Yami Wong, did you try by creating an nl program in Stata?, for the summation component of your equation, you should retrieve the information after a summarize (with return list you can see the hidden scalars after summ, in this case, summation would be r(sum). In Stata manual you can see some examples (see page 16 of this document: https://www.stata.com/manuals/rnl.pdf), best