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st: Regarding some simultaneous estimations in stata

From   Sriram Narayanan <>
Subject   st: Regarding some simultaneous estimations in stata
Date   Thu, 13 May 2010 14:55:29 -0700 (PDT)

I am trying to estimate a simultaneous system in stata where the first stage is a 0-1 variable, the second stage is a count data and the third stage is a continuous variable. I am wondering if there is any way to estimate these simultaneously in STATA. 

Eqn 1: Dependent variable: 0-1 with some IVs (XTLOGIT)
Eqn 2: Dependent variable is count: I am using xtnbreg  
Eqn 3: Dependent variable is a continuous variable (XTREG)

The 0-1 in the first stage has been shown to be endogeneous with the dependent variable in equations 2 and 3. Both equations 2 and 3 in our model are also endogenously determined and share common IV's and the DV from equation 2 is an IV in equation 3. 

Currently I am running individual models, extracting the mills ratio from (1) and adding into (2) and (3). Then I am using the mills ratio from equation 2 separately into equation 3. I am a little uncomfortable with this set up and want to understand the proper procedure to estimate this. Any help would be highly appreciated.



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