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st: simultaneous probit model


From   Marie-Benoit MAGRINI <marie-benoit.magrini@toulouse.inra.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: simultaneous probit model
Date   Thu, 8 Oct 2009 14:49:11 +0200

Hello,

I am looking for a program allowing me to implement the « model 6 » in the book of Maddala (1983, “Limited dependent and qualitative variables in econometrics”, chapter 8 about the two-stage estimation methods, page 246).

That is, I am trying to estimate the following simultaneous probit model :

(1) Y1 = a*Y2 + b*X1 + e1

(2) Y2 = b*Y1 + c*X2 + e2

where Y1 and Y2 are two endogeneous binary variables; X1 and X2 are two sets of exogenous variables of Y1 and Y2 respectively; e1 and e2 the error terms.

Y1 and Y2 are endogenously determined by each other.

I have looked at the ‘cdsimeq’ program but I understand that it corresponds to the model where one dependent variable is continuous and the other binary. So it cannot be used in my case.

I have also looked at the ‘biprobit’ procedure but I understand that it is adapted only for recursive model that is only one dependent variable is an explicative of the other one (the model 6 I’ve been trying to estimate is not recursive).

Could someone tell me if this simultaneous probit model can be estimated with STATA ?

best regards,

mb magrini

using Stata 10

--------------------------------------------------------------
Marie-Benoît MAGRINI
PhD in Economics
INRA - French National Institute for Agricultural Research
UMR1248 AGIR
BP 52627
31326 Castanet Tolosan
FRANCE
Phone: 33 (0)5 61 28 54 22
Fax: 33 (0)5 61 73 20 77
email: mbmagrini@toulouse.inra.fr
http://www.toulouse.inra.fr/agir
http://www.international.inra.fr
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