Three-step feasible generalized least squares (FGLS)

Dear Group,


I am trying to do a vulnerability assessment which involves Three-step
feasible generalized least squares (FGLS) (Amemiya, T., 1977[full ref.
given below]). But, my analysis gives me absurd values for my data
(partial tab delimited form uploaded at
http://www.angelfire.com/planet/stata/vl.txt ).

Can anyone direct me to any example or work where Three-step feasible
generalized least squares (FGLS) was done?

Or if a routine / program on Three-step feasible generalized least
squares is available (stand alone or package / function of stata / s+/R
/SAS /SPSS /Minitab etc.), please let me know.


Thank you for your time.


Mohammad Ehsanul Karim
Institute of Statistical Research and Training
University of Dhaka, Dhaka, Bangladesh
E-mail: wildscop at yahoo dot com
Cell: +88-0152455701


Ref:
Amemiya, T. (1977) "The maximum likelihood estimator and the
non-linear three stage least squares estimator in the general nonlinear
simultaneous equation model," Econometrica, 45, 955-968.

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