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st: RE: 2 step estimation: Probit - Tobit

From   "Julian Fennema" <[email protected]>
To   <[email protected]>
Subject   st: RE: 2 step estimation: Probit - Tobit
Date   Wed, 1 Oct 2003 08:09:00 +0100


It sounds to me like you are referring to a double hurdle model, which
estimates a system containing a probit (convertionally a participation
equation) and a tobit (often expenditure on durable goods). This model
cannot be estimated with two-step methods, but ML is consistent. If I am
understanding you correctly, and this is indeed what you want, I have
written the code for one, which is available at .

In terms of papers which have used this model, I would suggest looking
Flood and Gr�sj�, 2001, "A Monte Carlo Simulation of Tobit models",
Applied Economics Letters, 8, pp.581-584 
Jones, 1992, "A Note on Computation of the Double-Hurdle Model with
Dependence with an Application to Tobacco Expenditure", Bulletin of
Economic Research, 44, pp. 67-74


-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Daniel
Sent: 01 October 2003 07:02
To: [email protected]
Subject: st: 2 step estimation: Probit - Tobit

Dear all,

I would like to know if somebody knows how to compute with Stata
simultaneous equations models with a probit distribution and a tobit
distribution.Or if anyone can point me in the direction of a paper that
has done this


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