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Re: st: Simultaneous eqns containing endogenous binary var


From   Timothy.Mak@iop.kcl.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Simultaneous eqns containing endogenous binary var
Date   Tue, 11 Jul 2006 13:04:50 +0100

I would imagine that the set of equations is not solvable because of being 
underidentified. 

For example, how can you separate the effect of y1 on y2 from the effect 
of y2 on y1? 

Tim 




Kelvin Foo <kelvinski@gmail.com> 
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11/07/2006 12:20
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st: Simultaneous eqns containing endogenous binary var






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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