I want to estimate the following two-equation
simultaneous model (model 4 in Maddala (1983, p120)
y1=r1x1+u1
y2*=b2y1+r2x2+u2
where y1 is a continuous variable and y2 is a binary
variable. This model takes the formulation that
ivprobit estimates except that here both equations are
structural equations. So x1 in the first equation may
not contain all exogenous regressors in x2. I believe
these two models have the same log-likelihood
funaction form (Wooldridge(2002,p476)). I am not aware
how the atanh rho is related to the ML estimation as
described in the ivprobit paragraph of Stata base
reference manual 9 (p.523-524). Can anyone suggest how
to estimate this model using maximum likelihood
method?
Thank you for your kind help
Richard Lo
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