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st: AW: simultaneous probit model

From   "Martin Weiss" <>
To   <>
Subject   st: AW: simultaneous probit model
Date   Thu, 8 Oct 2009 14:51:37 +0200


Have you had a look at -ssc d cmp-?


-----Ursprüngliche Nachricht-----
[] Im Auftrag von Marie-Benoit
Gesendet: Donnerstag, 8. Oktober 2009 14:49
Betreff: st: simultaneous probit model


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
BP 52627
31326 Castanet Tolosan
Phone: 33 (0)5 61 28 54 22
Fax: 33 (0)5 61 73 20 77

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