Dear Julian,
Thanks for your reply but the double hurdle model seems more akin to the
Heckman (heckit) procedure than what I am looking for.
I'm looking for something similar to cdsimeq to estimate simultaneously a
probit and tobit rather than probit and OLS (as in cdsimeq). This can be via
any method, 2SLS, FIML, ML.
I would appreciate any assistance with this. I would be willing to pay
someone if the code is not something that is widely distributed.
******************************************************
Daniel,
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
http://www.som.hw.ac.uk/somjaf/stata.htm .
In terms of papers which have used this model, I would suggest looking
at
Flood and Gråsjö, 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
Julian
-----Original Message-----
From: owner-statalist@h...
[mailto:owner-statalist@h...] On Behalf Of Daniel
Sent: 01 October 2003 07:02
To: statalist@h...
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
Thanks
Daniel
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