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Re: st: Exclusion restriction with mprobit


From   saqlain raza <bhatti_sb@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Exclusion restriction with mprobit
Date   Thu, 3 Nov 2011 14:20:58 -0700 (PDT)

 I am using two binary dependent variables and a set of independent covariates. For my case, the errors are correlated with each other. What do you suggest?

Saqlain RAZA
France
________________________________
From: Maarten Buis <maartenlbuis@gmail.com>
To: statalist@hsphsun2.harvard.edu
Sent: Wednesday, November 2, 2011 9:25 PM
Subject: Re: st: Exclusion restriction with mprobit

On Wed, Nov 2, 2011 at 9:06 PM, saqlain raza wrote:
> I am trying to use "mprobit" to estimate a multinomial probit model with four alternatives.
> As far as I know, what we need for identifying MNP model is some set of proper "exclusion
> restrictions," (as illustrated by Keane (1992)), not the suggested format of the data itself.

That is only necesary when your multinomial probit model includes
correlations between the different error terms. The -mprobit- command
in Stata sets these correlations at 0, imposing the equivalent of the
IAA assumption to a multinomial probit model. It is this assumption
that identifies the model rather than an exclusion restriction.

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------
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