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From |
"Pagan, jose" <pagan@wharton.upenn.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: simultaneous system of probit models |

Date |
Fri, 12 Dec 2003 14:14:41 -0500 |

Hi Hans, I'm analyzing a similar system and a paper by Greene (1998) argues that the likelihood function of a recursive simultaneous-equations probit is the same as that of a bivariate probit model. As such, you can just estimate the models using biprobit. You can download the paper via this link: http://www.indiana.edu/~econed/issues/v29_4/1.htm This is also summarized in Greene's Econometric Analysis (5th ed) in an example and in the discussion of the bivariate probit model, I think. Knapp and Seaks argue that a likelihood-ratio test of the correlation coefficient of the residuals (rho) can be used as an endogeneity test. This is what the 'biprobit' command reports at the bottom of the results' table. Knapp, Laura Greene and Terry G. Seaks (1998), "A Hausman test for a dummy variable in probit," Applied Economic Letters, vol 5, 321-323. Good luck, Jose. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ José A. Pagán Robert Wood Johnson Health & Society Scholar University of Pennsylvania Colonial Penn Center 3641 Locust Walk Philadelphia, PA 19104 Ph: (215) 746-2772 Fax: (215) 746-0397 pagan@wharton.upenn.edu -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hans J. Baumgartner Sent: Friday, December 12, 2003 1:03 PM To: statalist Subject: 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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