** Chapter 12.7 ** for W.H. Greene, Econometric Analysis 6th ed. *****************
* (c) Noel Roy 2003, 2008
*
*	           		NONLINEAR INSTRUMENTAL VARIABLES ESTIMATION
*
*===============================================================================
*
* Example 12.6 (p. 183) Instrumental Variables Estimates of the Consumption
* Function.
*
*
READ (TableF5-1.prn) Year qtr GDP C Inv G Y CPI M1 r / SKIPLINES=1
*
* Calculate the instrumental variables.
*
GENR CLAG = LAG(C)
GENR YLAG = LAG(Y)
GENR YLAG2 = LAG(Y,2)
*
* Drop the first two observations
*
TIME 1950.1 4

SAMPLE 1950.3 2000.4
*
* Estimate the non-linear least squares model, saving the coefficients
* in the vector B.
*
NL 1 / NCOEF=3 ITER=200 COEF=B
EQ C=ALPHA+BETA*Y**GAMMA
END
*
* Now estimate the instrumental variables model. The exogenous variables 
* are listed in the NL command using the format
* NL neq exog / NCOEF= options.
* While NLS converges from the default starting values,
* non-linear IV fails to improve on its first iteration at these starting
* values, so we use the NLS estimates as starting values for the nonlinear
* IV estimates, using the START= option. 
*
NL 1 CLAG YLAG YLAG2 / NCOEF=3 START=B
EQ C=ALPHA+BETA*Y**GAMMA
END
*
STOP
*
*===============================================================================
*
* Updated October 21, 2008