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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Question related to CDSIMEQ |

Date |
Sat, 24 Sep 2011 01:40:19 +0100 |

This post has now been posted three times, as Kwaku Damoah also posted it. http://www.stata.com/support/faqs/res/statalist.html#noanswer gives the Statalist policy: at most one repost. Please: no more on this unless someone answers and asks secondary questions. Nick On Sat, Sep 24, 2011 at 1:26 AM, Econ Stat <econstat@ymail.com> wrote: > In my previous post, I inadvertently missed attaching my signature to the post. One of the statalist users drew my attention to that. I thank him and apologize to all the statalist users for this unintentional act. Please find my questions below and if possible kindly send me a reply........... > 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. > > Thank you. > Regards, Debashish Adhikari * * 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/

**References**:**st: Question related to CDSIMEQ***From:*Econ Stat <econstat@ymail.com>

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