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From |
"Conway, Karen" <ksconway@cisunix.unh.edu> |

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

Subject |
RE: st: biprobit |

Date |
Wed, 13 Oct 2004 09:11:25 -0400 |

Just a follow-up question to Marc's clear discussion of bivariate probit... Suppose that one finds rho is not significantly different from zero in the case of a simultaneous probit model. Does that mean that you can treat the endogenous dichotomous regressor as exogenous when you estimate the two probits separately? In other words, is rho a de facto exogeneity test as well? My understanding is that you can include the observed dichotomous regressor on the rhs, even though its endogenous, BECAUSE you are estimating with a bivariate probit (Greene 2003, p. 716). Karen Conway -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Marc F. Bellemare Sent: Wednesday, October 13, 2004 7:22 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: biprobit Hi Victoria: A bivariate probit will estimate a pair of probits. For example, you might want to estimate simultaneously whether or not a college student works during a given semester (y_{1} = 1 if she works, 0 otherwise) and whether or not she drops out of school (y_{2} = 1 if she drops out of school, 0 otherwise). If you need to see the likelihood function of the bivariate probit, turn to Maddala (1983) (maybe Gouriéroux, 2001, also has it). It can be used whenever you have a simultaneous or sequential pair of probits. The coefficients are indeed consistent, assuming the hypotheses of maximum likelihood estimation are satisfied and the regularity conditions hold true. The main question is: should you estimate a bivariate probit or two separate probits? The biprobit command will return a correlation coefficient ("rho") which is the correlation coefficient between the residuals of each of the two probits. If rho is statistically significantly different from zero, then you should estimate the two probits simultaneously. If rho is not statistically significantly different from zero, then you can stick to estimating two separate probits. Marc At 09:13 AM 10/13/2004 -0300, you wrote: >Hi, > >I need your help. > >Does anybody knows exactly, theoretically speaking, what the biprobit >comando does? When exactly can be used? Are the coefficients >consistent? > >Thank you all for your help. > >Victoria ROdriguez >* >* 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/ __________ Marc F. Bellemare Ph.D. Candidate Department of Applied Economics and Management Cornell University Ithaca, NY 14853-7801 http://www.people.cornell.edu/pages/mfb24 * * 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/

**Follow-Ups**:**Re: st: biprobit***From:*Stas Kolenikov <skolenik@gmail.com>

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