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st: Mixed model with correlated errors


From   arsaboo <arsaboo@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Mixed model with correlated errors
Date   Mon, 20 Dec 2010 09:58:39 -0800 (PST)

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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