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


From   "Stephen P. Jenkins" <stephenj@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: IV estimation for probit models with binary endogenous variable...?
Date   Sat, 4 Apr 2009 15:08:25 +0100

============================================
Date: Fri, 3 Apr 2009 06:34:12 -0400
From: Kit Baum <baum@bc.edu>
Subject: Re: st: IV estimation for probit models with binary
endogenous variable...?

<>
Antoine said
>
>
> In the following example, -cmp- and -biprobit- give the same results


SNIP

If indeed -biprobit- is workable for this kind of model, there ought  
to be some example of its use in the manual and help file. It would be

very useful to receive guidance from StataCorp developers as to  
whether this is an appropriate use of -biprobit-.

======================================================================
============

I think this works for multivariate probit models more generally. I
don't have my library to hand at home, but I suggest checking out
Hsiao's Panel Data book (CUP) for the bivariate probit case.

I gather that the definitive reference on coherency conditions for
systems of any such kind is: James J. Heckman "Dummy Endogenous
Variables in a Simultaneous Equation System", Econometrica, Vol. 46,
No. 4. (July, 1978), pp. 931-959.



Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Director, Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk  
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/iser/teaching/module-ec968 
Downloadable papers and software: http://ideas.repec.org/e/pje7.html

Learn about the UK's new household panel survey, "Understanding
Society": http://www.understandingsociety.org.uk/ 


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