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From |
Econ Stat <econstat@ymail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Econometric Questions |

Date |
Thu, 22 Sep 2011 23:18:43 -0700 (PDT) |

Hello Statalist users, I need your help on the following econometric issue: I am doing a simultaneous 2-step estimation (analyzed in Maddala 1983, Model 3, using CDSIMEQ program in STATA) as following: I have the following set of equations: Model 1: -------------- y1= β1’x1 + δ1y2* + ε1, …………….....eqn(1) y2*= β2’x2 + δ2y1 + ε2, y2=1(y2*>0)….eqn(2) where y1 observed and y2 dichotomous. (1) I would like to know, can I use the estimates of y2* (i.e., y2*hat) from the 2nd stage regression of the above model (Model 1) and use it as an explanatory variable in a simple probit or ordered probit regression model? Like for example in the following probit model, y3*= φ3’x3 + γ3y2*hat + η3, y3=1(y3*>0).…eqn(3) I have a valid theoretical justification for using the predicted value y2*hat (predicted from the 2nd stage of Model 1 i.e. simultaneous equations model) in the y3* equation but I am unsure about the empirical justification. (2) Also using the 2nd stage estimates of y2* (i.e., y2*hat from Model 1) as an explanatory variable, can I do a 2-step GMM estimation? Please help. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: Econometric Questions***From:*"Kwaku Damoah" <kdamoah@gmx.com>

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