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st: Simultaneous eqns containing endogenous binary var


From   "Kelvin Foo" <kelvinski@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Simultaneous eqns containing endogenous binary var
Date   Tue, 11 Jul 2006 12:20:11 +0100

Dear All,

I would like to find the estimates for these 3 simultaneous equations:

Eqn 1: y1 = f(y2, y3, X1)
Eqn 2: y2 = f(y1, y3, X2)
Eqn 3: y3 = f(y1, y2, X3)

y3: endogenous binary variable,
y1, y2: endogenous continuous variables, and
X1, X2, X3: sets of exogenous variables.

If it helps, let's assume that all disturbance terms are independent
and normally distributed.

Taken separately, I could estimate Eqns 1 and 2 using -regress-, and
Eqn 3 using -probit-. However, I am not sure how to proceed if these
were to be seen as a system of simultaneous equations. Is there a
command for this in Stata 9? Any other comments/suggestions would be
greatly appreciated too.

Thanks in advance!

Kelvin
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