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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
AW: st: simultaneous probit model |

Date |
Thu, 8 Oct 2009 16:33:13 +0200 |

<> Marie said in her initial request about this command that she thought that "...it cannot be used in my case." Are you saying that she can? HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Robert A Yaffee Gesendet: Donnerstag, 8. Oktober 2009 16:33 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: simultaneous probit model 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: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * 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/ * * 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/

**References**:**st: simultaneous probit model***From:*Marie-Benoit MAGRINI <marie-benoit.magrini@toulouse.inra.fr>

**Re: st: simultaneous probit model***From:*Partha Deb <partha.deb@hunter.cuny.edu>

**Re: st: simultaneous probit model***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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