st: bootstrap for the simultaneous probit model

[bilge <b.karatas@uvt.nl>]

Dear all, 
I am trying to estimate the following simultaneous probit model (model 6 of
chapter 8 in Maddala(1983))  : 

(1) Y1* = a*Y2* + b*X1 + e1 
(2) Y2* = b*Y1* + c*X2 + e2 

where Y1 and Y2 are two endogeneous binary variables; X1 and X2 are two sets
of exogenous variables of Y1 and Y2 respectively; e1 and e2 the error terms.
Y1 and Y2 are endogenously determined by each other. 

As far as I know stata does not have a program for this estimation directly
and that the 2-step probit estimation outlined in Maddala is
straightforward. However, the standard errors have to be corrected. A way to
correct the variance-coveriance matrix is by bootstrapping. However, i am
not familiar with this method. 
Can anyone guide me in implementing this method? 
Also, do I bootstrap in both steps of the probit estimations? Do i change my
coefficients according to bootstrap results? 

I will appreciate your help a lot. 

Best, 

Bilge 


--
View this message in context: http://statalist.1588530.n2.nabble.com/bootstrap-for-the-simultaneous-probit-model-tp7568136.html
Sent from the Statalist mailing list archive at Nabble.com.
*
*   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/