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st: simultaneous system of probit models

From   "Hans J. Baumgartner" <[email protected]>
To   statalist <[email protected]>
Subject   st: simultaneous system of probit models
Date   Fri, 12 Dec 2003 19:02:45 +0100

Hi stata-listers,

which command allows me to estimate a simultaneous system of probit models

y1* = X1b1 + u1
y2* = y1b2 + X2b3 + u2

where y1* is a latent variable and y1 = 1 if y1* > 0.3

Maddala (1983, p. 122) says that this system can be estimated in two steps if E(u1, u2) = 0. But if E(u1, u2) = d, then the coefficients in the second equation are not identified. I have doubts that in my sample E(u1, u2) = 0. Thus, I would be very grateful if somebody could point me to a test for this problem, too.

Best wishes

Hans J. Baumgartner DIW Berlin
Deutsches Institut f�r Wirtschaftsforschung
German Institute for Economic Research
Abt. Staat / Dept. Public Economics
K�nigin-Luise-Str. 5; 14195 Berlin; Germany Tel.: +49/30/89789-307; Fax.: +49/30/89789-114

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