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st: Trivariate ordered probit model in Stata?


From   "Karabulut, Yigitcan" <karabulut@finance.uni-frankfurt.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Trivariate ordered probit model in Stata?
Date   Tue, 4 Jan 2011 15:03:25 +0100

Dear Stata users:

I have a question regarding the feasibility of a trivariate ordered probit model in Stata 11: I would like to estimate a trivariate probit model where Y1,Y2 and Y3 are ordered variables all of which take the values 1 &  2 & 3:

Y1=X*beta1+epsilon1
Y2=X*beta2+gamma*Y1hat+epsilon2
Y3=X*beta3+theta1*Y1hat +epsilon3

However, while constructing the variance covariance matrix, I would like to allow correlation just for -Y1 and Y2- and -Y1 and Y3-. There is no correlation between Y2 and Y3. Therefore, I assume the relation between Y2 and Y3 is seemingly unrelated. Do you think whether it makes sense to estimate two seperate bivariate ordered probit models and combine them using the command suest, i.e.:

bioprobit Y1 Y2 X, vce(cluster id)
estimates store p1
bioprobit Y1 Y3 X, vce(cluster id)
estimates store p2
suest p1 p2
 
Thanks in advance!

Regards

YK
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