Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE : simultaneous system of probit models

From   "Olivier Paradis-Beland" <>
To   <>
Subject   st: RE : simultaneous system of probit models
Date   Fri, 12 Dec 2003 13:09:15 -0500

You should read the paper by Wilde (2000) in Economic Letters. If you want I can send it to you.
Olivier Paradis Béland

	-------- Message d'origine-------- 
	De: Hans J. Baumgartner [] 
	Date: ven. 2003-12-12 13:02 
	À: statalist 
	Objet: st: simultaneous system of probit models

	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 für Wirtschaftsforschung
	German Institute for Economic Research
	Abt. Staat / Dept. Public Economics
	Königin-Luise-Str. 5; 14195 Berlin; Germany 
	Tel.: +49/30/89789-307; Fax.: +49/30/89789-114
	*   For searches and help try:


© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index