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st: Re: RE : simultaneous system of probit models


From   "recotillet.isabelle" <recotillet.isabelle@wanadoo.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE : simultaneous system of probit models
Date   Mon, 15 Dec 2003 12:04:36 +0100

I will be very interested too by the paper you quoted (Wilde, 2000).

Isabelle Recotillet

----- Original Message -----
From: "Olivier Paradis-Beland" <obeland@ecn.ulaval.ca>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, December 12, 2003 7:09 PM
Subject: st: RE : simultaneous system of probit models


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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