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st: Murphy-Topel correction for standard errors


From   TEDLA HAILE <kebede1963@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Murphy-Topel correction for standard errors
Date   Thu, 7 Apr 2011 14:25:46 +0300

Dear All,

I am trying to run a simultaneous equation model which is modeled as;

Y*=aZ*+bX1+e1

Z*= cY*+ dX2+e2

Where each of the above two equations are ordered probit equations and
Y* and Z* are ordered latent endogenous variables which will have
ordinal values between 1up to 4

thus I am trying to fit the model by  applying 2-stage  technique for
ordered probit estimation in this way; Given the original simultaneous
equation,
I will first regress each equation via ordered probit by Stata  and
result both the reduced form equations and  have predicted values for
Y* and Z* i.e  Y^ and Z^
Next stage I will undertake ordered probit regression by replacing Y*
and Z* in the right side by predicted values Y^ and Z^ that is,

Y*=a1Z^+b1X1+z1

Z*= c1Y^+ d1X2+z2

Since standard errors have to be corrected after two stage estimation,
My  trouble is on figuring out how to extend the Murphy-Topel
correction for standard errors in a two-step model with an ordered
probit estimation. In this regard,I have been trying to adopt the code
available in Arne Risa Hole's paper, "Calculating Murphy-Topel
variance estimates in Stata: A simplified procedure." Unfortunately I
am not successful on working with it.

I would be greatful if any one can send me the stata codes to solve
this problem or any other advise to deal with it.

Any advice would be greatly appreciated!

Best regards,

Tedila

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