You should read the paper by Wilde (2000) in Economic Letters. If you want I can send it to you.
Olivier Paradis Béland
-------- Message d'origine--------
De: Hans J. Baumgartner [mailto:[email protected]]
Date: ven. 2003-12-12 13:02
À: statalist
Cc:
Objet: st: simultaneous system of probit models
Hi stata-listers,
which command allows me to estimate a simultaneous system of probit models
y1* = X1b1 + u1
y2* = y1b2 + X2b3 + u2
where y1* is a latent variable and y1 = 1 if y1* > 0.3
Maddala (1983, p. 122) says that this system can be estimated in two
steps if E(u1, u2) = 0. But if E(u1, u2) = d, then the coefficients in
the second equation are not identified. I have doubts that in my sample
E(u1, u2) = 0. Thus, I would be very grateful if somebody could point me
to a test for this problem, too.
Best wishes
Hans
--
Hans J. Baumgartner
DIW Berlin
Deutsches Institut für Wirtschaftsforschung
German Institute for Economic Research
Abt. Staat / Dept. Public Economics
Königin-Luise-Str. 5; 14195 Berlin; Germany
Tel.: +49/30/89789-307; Fax.: +49/30/89789-114
http://www.diw.de
http://www.hansbaumgartner.de
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