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st: RE : simultaneous system of probit models


From   "Olivier Paradis-Beland" <obeland@ecn.ulaval.ca>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE : simultaneous system of probit models
Date   Fri, 12 Dec 2003 13:09:15 -0500

You should read the paper by Wilde (2000) in Economic Letters. If you want I can send it to you.
Olivier Paradis Béland

	-------- Message d'origine-------- 
	De: Hans J. Baumgartner [mailto:hbaumgartner@diw.de] 
	Date: ven. 2003-12-12 13:02 
	À: statalist 
	Cc: 
	Objet: st: simultaneous system of probit models
	
	

	Hi stata-listers,
	
	which command allows me to estimate a simultaneous system of probit models
	
	y1* = X1b1 + u1
	y2* = y1b2 + X2b3 + u2
	
	where y1* is a latent variable and y1 = 1 if y1* > 0.3
	
	Maddala (1983, p. 122) says that this system can be estimated in two
	steps if E(u1, u2) = 0. But if E(u1, u2) = d, then the coefficients in
	the second equation are not identified. I have doubts that in my sample
	E(u1, u2) = 0. Thus, I would be very grateful if somebody could point me
	to a test for this problem, too.
	
	Best wishes
	Hans
	
	--
	Hans J. Baumgartner
	DIW Berlin
	Deutsches Institut für Wirtschaftsforschung
	German Institute for Economic Research
	Abt. Staat / Dept. Public Economics
	Königin-Luise-Str. 5; 14195 Berlin; Germany 
	Tel.: +49/30/89789-307; Fax.: +49/30/89789-114
	http://www.diw.de
	http://www.hansbaumgartner.de
	
	
	
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