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st: Simultaneous Equations Models/Inverse Mills

From   "Danny Yap" <>
To   <>
Subject   st: Simultaneous Equations Models/Inverse Mills
Date   Mon, 22 Sep 2003 23:58:13 +1000

Dear All

I have a couple of questions that are troubling me. Any comments
appreciated, I'm an undergraduate student at UNSW in Australia.

1. I was wondering if is a way to test endogeneity in the following

Y1= a0 + a1Y1 + a3X2 + e1
Y2 = a0 + a2Y2 + a4X2 +e1

I have two specifications

a. Y1 and Y2 are binary (probit)
b. Y1 is continuous, Y2 is binary

I know there is the Hausman test but this only applies to OLS I believe. Is
there anything else out there?

2. I want to estimate a Cragg model, but I want to do it manually rather
than through the heckman procedure because I need the inverse mills ratio
for another equation.

Is there any way to compute and save the "inverse mills ratio" from a probit
equation in Stata?

Thanks again.

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