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st: simultaneous tobit
From
marcel marcel <[email protected]>
To
<[email protected]>
Subject
st: simultaneous tobit
Date
Fri, 19 Mar 2010 20:56:11 +0100
Dear Statalisters,
I want to estimate a simultaneous equations tobit model by maximum likelihood. That is:
y1* = b1*X1 + c*y2 + u1
y2* = b2*X2 + d*y1 + u2
I know the likelihood function but I wonder how I can capture the coefficients 'c' and 'd' in a ML program in Stata. In a bivariate tobit, there are four possible regimes: (1,1), (0,1), (1,0) and (0,0). The problem is that the coefficient vectors are different for each of these regimes. How can I handle this situation in ML stata. MVtobit and bitobit are, I think, not appropriate for this problem.
Any suggestions?
Kind regards,
Marcel
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