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st: RE: bootstrap for the simultaneous probit model


From   <S.Jenkins@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: bootstrap for the simultaneous probit model
Date   Tue, 22 May 2012 09:21:18 +0100

Assuming your model is identified (check its coherence), couldn't you
fit this model using either -cmp- or -mvprobit- (both on SSC) or using
the generalised multivariate probit code provided with Cappellari and
Jenkins's article in Stata Journal 6(2), 2006 [article is free download
from SJ site]?
No need to bootstrap in these cases.

Stephen

------------------------------

Date: Mon, 21 May 2012 08:04:55 -0700 (PDT)
From: "David Radwin" <dradwin@mprinc.com>
Subject: st: RE: bootstrap for the simultaneous probit model

Bilge,

This is only a partial answer, but see
http://www.stata.com/statalist/archive/2008-02/msg00394.html and also
http://sekhon.berkeley.edu/papers/FreedmanSekhon.pdf .

Freedman, David A., and Jasjeet S. Sekhon. 2010. Endogeneity in Probit
Response Models.
Political Analysis 18 (2): 138-150.

Rivers, Douglas, and Quang H. Vuong. 1988. Limited Information
Estimators
and Exogeneity
Tests for Simultaneous Probit Models. Journal of Econometrics 39:
347-366.

David
- --
David Radwin
Research Associate
MPR Associates, Inc.
2150 Shattuck Ave., Suite 800
Berkeley, CA 94704
Phone: 510-849-4942
Fax: 510-849-0794

www.mprinc.com


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of bilge
> Sent: Sunday, May 20, 2012 10:33 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: bootstrap for the simultaneous probit model
> 
> Dear all,
> I am trying to estimate the following simultaneous probit model (model
6
> of
> chapter 8 in Maddala(1983))  :
> 
> (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.
> 
> As far as I know stata does not have a program for this estimation
> directly
> and that the 2-step probit estimation outlined in Maddala is
> straightforward. However, the standard errors have to be corrected. A
way
> to
> correct the variance-coveriance matrix is by bootstrapping. However, i
am
> not familiar with this method.
> Can anyone guide me in implementing this method?
> Also, do I bootstrap in both steps of the probit estimations? Do i
change
> my
> coefficients according to bootstrap results?
> 
> I will appreciate your help a lot.
> 
> Best,
> 
> Bilge


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