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From |
"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu> |

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

Subject |
RE: st: RE: two-stage mvprobit and ghk vs. sem algorithm questions |

Date |
Tue, 17 Jul 2012 10:56:21 -0700 |

you can either change your account name or change the signature rather than just Andrew. ________________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Andrew [abrudevo@gmu.edu] Sent: Monday, July 16, 2012 6:23 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: RE: two-stage mvprobit and ghk vs. sem algorithm questions Peter, Please excuse me, I thought it would come through from the email system. Thank you for any help you can provide. Regards, Andrew Brudevold On Mon, Jul 16, 2012 at 8:28 PM, Lachenbruch, Peter <Peter.Lachenbruch@oregonstate.edu> wrote: > With all the fuss about names recently, you owe us a first AND A LAST NAME! > > ________________________________________ > From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Andrew [abrudevo@gmu.edu] > Sent: Monday, July 16, 2012 11:35 AM > To: statalist@hsphsun2.harvard.edu > Subject: st: two-stage mvprobit and ghk vs. sem algorithm questions > > Hi Statalist, > > I have two questions: > > Question 1: > I have been trying to confirm if the following two-stage mvprobit > analysis is valid and would appreciate any thoughts/comments. I have > a 3 equations of interest that I believe have correlated errors: > > W1 = aA + dW2 + e1 > X1 = bB + eX2 + e2 > Y1 = cC + fY2 + e3 > > where > W, X, Y are dichotomous variables > A,B,C are exogenous variables > a,b,c are exogenous variable coefficients > W', X', Y' are endogenous dichotomous variables > d, e, f are endogenous variable coefficients > e1, e2, e3 are errors that are jointly normally distributed > > Each of these equations is itself part of a two equation system of the > type described by Mallar (1977) and Maddala (1983, pg 246) such that: > W1 = aA + dW2 + e1 > W2 = a'A' + d'W1 + u1 > with analogous equations defined for X and X', and Y and Y'. > > Mallar and Maddala solve this smaller system by estimating the reduced > form equations for each of these two, obtaining fitted values, and > then running further ml probits to obtain estimates of d/sigma1 and > a/sigma1. > > My hope is that I can estimate the reduced form for the endogenous > variables (W2, X2, Y2): > W2 = a'A' + aA + v1 > obtain their predicted estimates (W2*, X2*, Y2*) and then use those > in the original system to allow for the correlated errors among the > W1,X1,Y1 equations using the mvprobit command. > > mvprobit (W1 = A W2*) (X1 = B X2*) (Y1 = C Y2*) > > This is based on the idea that the you could estimate the coefficients > in each of the smaller systems by performing the 2 stage least squares > to obtain consistent results but that then performing the mvprobit we > are obtaining more efficient estimates that take into account the > error correlations. This is analogous to estimating OLS equations one > by one or by SUR. > > Question 2: > The mvprobit command uses the GHK simulator. My understanding is that > the GHK simulator is computationally efficient for systems of 4 or 5 > equations but that for larger systems a stochastic EM algorithm is > likely to be a better option. Is this correct? > > Thank you all in advance. > Regards, > Andrew > * > * 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/ > * > * 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/ * * 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/ * * 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: two-stage mvprobit and ghk vs. sem algorithm questions***From:*Andrew <abrudevo@gmu.edu>

**st: RE: two-stage mvprobit and ghk vs. sem algorithm questions***From:*"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>

**Re: st: RE: two-stage mvprobit and ghk vs. sem algorithm questions***From:*Andrew <abrudevo@gmu.edu>

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