R help - Jan 2010 - Functions for QUAIDS and nonlinear SUR?

Hi,

I would like to estimate a quadratic almost ideal demand system in R which is
estimated usually by nonlinear seemingly unrelated regression. But there is no
such function in R yet but it is readily available in STATA (nlsur), see B. Poi
(2008): Demand-system estimation: Update, Stata Journal 8(4).
Now I am thinking, what is quicker learning to "program" STATA which
seems not really comfortable for programming or implement the method in R which
might be above my head in terms of econometrics. May be it works with
nlsystemfit?

Has anyone recommendations how to proceed or any pointers to a somewhat sure way
to go in R?

Thanks so much,
  Werner

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Werner,

I know that S-Plus package Finmetrics has a NLSUR function.
This is a commercial package, but maybe if you write the authors asking
for code only, or some hints...

Rick

--------------------------------------------------
From: "Werner W." <pensterfuzzer at yahoo.de>
Sent: Friday, January 08, 2010 10:21 PM
To: <r-help at stat.math.ethz.ch>
Subject: [R] Functions for QUAIDS and nonlinear SUR?
> Hi,
>
> I would like to estimate a quadratic almost ideal demand system in R which 
> is estimated usually by nonlinear seemingly unrelated regression. But 
> there is no such function in R yet but it is readily available in STATA 
> (nlsur), see B. Poi (2008): Demand-system estimation: Update, Stata 
> Journal 8(4).
> Now I am thinking, what is quicker learning to "program" STATA
which seems
> not really comfortable for programming or implement the method in R which 
> might be above my head in terms of econometrics. May be it works with 
> nlsystemfit?
>
> Has anyone recommendations how to proceed or any pointers to a somewhat 
> sure way to go in R?
>
> Thanks so much,
>  Werner
>
> __________________________________________________
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On Sat, Jan 9, 2010 at 1:21 AM, Werner W. <pensterfuzzer at yahoo.de>
wrote:
> I would like to estimate a quadratic almost ideal demand system in R which
is
> estimated usually by nonlinear seemingly unrelated regression. But there is
no
> such function in R yet
The "systemfit" package has the function nlsystemfit() for estimating
systems of non-linear equations, e.g. by non-linear SUR. However, in
contrast to the systemfit() function for estimating systems of linear
equations, the function nlsystemfit() is still under development and
has convergence problems rather often. So, I cannot recommend using
nlsystemfit() for an important analysis. :-(
> but it is readily available in STATA (nlsur), see B. Poi (2008):
Demand-system
> estimation: Update, Stata Journal 8(4).
> Now I am thinking, what is quicker learning to "program" STATA
which seems
> not really comfortable for programming or implement the method in R which
> might be above my head in terms of econometrics.
You do not have to start from scratch but you could improve the
nlsystemfit() function, e.g. by implementing analytical gradients of
the objective function -- and I could assist you with this. If you are
interested in improving nlsystemfit(), please apply at R-Forge [1] for
getting write access to systemfit's SVN repository.

[1] http://r-forge.r-project.org/projects/systemfit/

/Arne

-- 
Arne Henningsen
http://www.arne-henningsen.name