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st: Interpretation of coefficients of recursive simultaneous probit model
From
orc un <[email protected]>
To
[email protected]
Subject
st: Interpretation of coefficients of recursive simultaneous probit model
Date
Tue, 15 Mar 2011 18:47:18 +0000 (GMT)
Dear Statalist
I have recursive simultaneous probit model which I estimate using -biprobit- command and full maximum likelihood setting . My model is
y1* = shock'b1+delta*s + e1 equation (1)
y2* = shock'b2 + a*y1 + e2 equation (2)
where s is exclusion restriction for the endogenous binary regressor and shock is the common exogenous term. My question is once I would like to comment on the effect of y1 on y2, is y1’s effect net of shock term because I control it at the second equation as an additional regressor . Or can I say that there is still an indirect effect of shock through y1 to y2 despite this additional regressor at second equation .
Thanks in advance
Orcun
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