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st: IVTOBIT with 2 PROBITS on first stage...

From   "Diana Fletschner" <>
To   <>
Subject   st: IVTOBIT with 2 PROBITS on first stage...
Date   Wed, 22 Aug 2007 11:08:25 -0700


I am trying to estimate a TOBIT model with two endogenous binary variables. That is, a model like:
y = b0 + b1 X1 + b2 X2 + ... + u
where y has an upper bound of 1 and X1 and X2 are either 0 or 1. I would like to instrument X1 and X2 using either two PROBIT models (or even better, a BIVARIATE PROBIT model since the error terms for X1 and X2 are likely to be correlated).

I have tried using IVTOBIT but cannot get results:
* if I use the FIML option, it tells me the function is not concave.
* if I use the two step option (which I'd prefer), I encounter two problems:
1) the first stage uses OLS not PROBITs; and,
2) I cannot use pweights, something I need given my sample.

If you have any suggestions on how to approach this problem, I would love to hear from you. Any help would be much appreciated.


Diana Fletschner
Assistant Professor
Daniel J. Evans School of Public Affairs
University of Washington
(206) 616-1297

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