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From |
Antoine Terracol <Antoine.Terracol@univ-paris1.fr> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: IV estimation for probit models with binary endogenous variable...? |

Date |
Thu, 02 Apr 2009 13:56:12 +0200 |

nevertheless consistent must satisfy two criteria:

per stage.

In the following example, -cmp- and -biprobit- give the same results /*---------------------------*/ clear set obs 1000 drawnorm e1 e2, cov(1,0.5\0.5,1) drawnorm x1 x2 z1 z2 g endog=(1+z1+z2+e1>0) g y=(1+endog+x1+x2+e2>0) cmp (y = endog x1 x2) (endog = z1 z2), ind(4 4) biprobit (y = endog x1 x2) (endog = z1 z2) /*---------------------------*/ Antoine Kit Baum wrote:

<>Antoine saidIf you are ready to assume joint normality, then -biprobit- should do the trick: /*------------------------------*/ clear set obs 10000 set seed 987654321 drawnorm e1 e2, cov(1,0.5\0.5,1) drawnorm x1 x2 z1 z2 g endog=(1+z1+z2+e1>0) g y=(1+endog+x1+x2+e2>0) probit y endog x1 x2 /*biased*/ biprobit (y= endog x1 x2) (endog=z1 z2)I'm not so sure. Stata will allow you to estimate that model, but itcalls it the "seemingly unrelated bivariate probit" model. That model isdescribed in Greene, Econometric Analysis 6ed (p. 817), as analogous toSUR ("in the same spirit as the seemingly unrelated regression model"):that is, two equations in which there are nothing but exogenousexplanatory variables. The way in which Antoine has written the model isone in which you surely could use cmp, as it is recursive (y depends onendog, but endog does not depend on y). But I'm not sure that theassumptions of the SUBP model are satisfied here.Greene (p. 817) describes a model in which an endogenous regressor isbinary as a 'treatment effects' model and suggests that it should betreated as a selection problem.Kit Baum | Boston College Economics & DIW Berlin |http://ideas.repec.org/e/pba1.htmlAn Introduction to Stata Programming |http://www.stata-press.com/books/isp.htmlAn Introduction to Modern Econometrics Using Stata |http://www.stata-press.com/books/imeus.html* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**Follow-Ups**:**Re: st: IV estimation for probit models with binary endogenous variable...?***From:*Antoine Terracol <Antoine.Terracol@univ-paris1.fr>

**References**:**Re: st: IV estimation for probit models with binary endogenous variable...?***From:*Kit Baum <baum@bc.edu>

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