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Re: st: simultaneous probit model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: simultaneous probit model
Date   Thu, 08 Oct 2009 10:32:30 -0400

Marie, Martin, Partha,
  M. G. Keshk wrote a program called cdsimeq
that will handle some forms of simultanous probit.
On the command line, type:  findit cdsimeq
   Cheers,
       Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Partha Deb <partha.deb@hunter.cuny.edu>
Date: Thursday, October 8, 2009 9:42 am
Subject: Re: st: simultaneous probit model
To: statalist@hsphsun2.harvard.edu


> <>
> Notation is important here.  The model you have written down is not 
> quite model 6 in Maddala.  Model 6 has
> 
> (1) Y1* = a*Y2* + b*X1 + e1
> (2) Y2* = b*Y1* + c*X2 + e2
> 
> i.e., the endogenous regressors on the RHS are the latent indices 
> underlying Y1 and Y2, not the binary indicators themselves.  If this 
> is 
> the model you want, Maddala, on the pages you've cited, outlines a 
> 2-step plug in method.  That's straightforward to implement.  Standard 
> 
> errors are more complicated, but you could just bootstrap it all to 
> get 
> consistent standard errors.
> 
> best.
> 
> Partha
> 
> 
> Marie-Benoit MAGRINI wrote:
> > 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
> > ---------------------------------------------------------------
> >
> >
> >
> >
> >
> >
> >
> > *
> > *   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/
> 
> -- 
> Partha Deb
> Professor of Economics
> Hunter College
> ph:  (212) 772-5435
> fax: (212) 772-5398
> http://urban.hunter.cuny.edu/~deb/
> 
> Emancipate yourselves from mental slavery
> None but ourselves can free our minds.
> 	- Bob Marley
> 
> 
> *
> *   For searches and help try:
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

*
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