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st: RE: simultaneous probit with two binary variables


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: simultaneous probit with two binary variables
Date   Mon, 9 Jan 2006 13:35:59 +0100

Dear Cher,

Have you looked at the -biprobit- command?

HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z214 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Q Cher Li
Sent: maandag 9 januari 2006 13:33
To: 'statalist@hsphsun2.harvard.edu'
Subject: st: simultaneous probit with two binary variables

I've been trying to estimate the following simultaneous probit models:


(1) Y1=a*Y2 + b*X1 + e1;
(2) Y2=c*Y1 + d*X2 + e2.

where Y1 and Y2 are two endogenous binary variables; X1, and X2 are two sets
of exogenous variables of Y1 and Y2 respectively; e1 and e2 error terms.
That is to say, Y1 and Y2 suspected to be endogenously determined by each
other.

I am thinking of implementing the two-stage method discussed in Maddala
(1983) P246-247 (Model 6. y1 and y2 both binary); but am having problems
calculating the adjusted standard errors of the second-stage models.

I understand there's a procedure 'cdsimeq' by Keshk that implements
Maddala's approach when one dependent variable is binary, but the other one
CONTINUOUS. Could someone kindly point out whether there is also a similar
Stata/user-written programme that deals with the case of two binary
variables?

 

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