Hello,
I am looking for a program allowing me to implement the « model 6 » in
the book of Maddala (1983, “Limited dependent and qualitative
variables in econometrics”, chapter 8 about the two-stage estimation
methods, page 246).
That is, I am trying to estimate the following simultaneous probit
model :
(1) Y1 = a*Y2 + b*X1 + e1
(2) Y2 = b*Y1 + c*X2 + e2
where Y1 and Y2 are two endogeneous binary variables; X1 and X2 are
two sets of exogenous variables of Y1 and Y2 respectively; e1 and e2
the error terms.
Y1 and Y2 are endogenously determined by each other.
I have looked at the ‘cdsimeq’ program but I understand that it
corresponds to the model where one dependent variable is continuous
and the other binary. So it cannot be used in my case.
I have also looked at the ‘biprobit’ procedure but I understand that
it is adapted only for recursive model that is only one dependent
variable is an explicative of the other one (the model 6 I’ve been
trying to estimate is not recursive).
Could someone tell me if this simultaneous probit model can be
estimated with STATA ?
best regards,
mb magrini
using Stata 10
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Marie-Benoît MAGRINI
PhD in Economics
INRA - French National Institute for Agricultural Research
UMR1248 AGIR
BP 52627
31326 Castanet Tolosan
FRANCE
Phone: 33 (0)5 61 28 54 22
Fax: 33 (0)5 61 73 20 77
email: [email protected]
http://www.toulouse.inra.fr/agir
http://www.international.inra.fr
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