Hi,
I am trying to estimate a bi-variate model where one of the dependent
variables (DV) is binary and the other is continuous. Further, I want to
have the errors across the two DVs correlated. Basically, the model looks
like
y1 = X1*B1 + e1
y2 = X2*B2 + e2
I want to specify the two error terms (e1 and e2) to be correlated
(bivariate normal). I understand that CMP can be used for such cases,
however, I am not able to figure out how to do that. Also, can I retain the
Inverse Mills Ratio for the probit part and the residuals for the second
equation? Any suggestions would be highly appreciated...
Regards,
Alok
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