Re: st: IV est. /w binary endogenous and binary dependent var

[Guido Heineck <guido.heineck@oif.ac.at>]

Dear Jean, dear Mark,

thanks for your comments and suggestions. I will have a closer look at 
'biprobit' and the references you cited.

Guido

jean ries wrote:


> Mark Schaffer wrote:
>
> > I had a look at biprobit, too.  The syntax seems compatible with what 
> > Guido wants to do, e.g.,
> >
> > biprobit (y = w x1-xn) (w = z x1-xn)
> >
> > but it wasn't clear to me from a quick perusal of the manual entry 
> > that biprobit will properly handle the fact that the w that appears in 
> > the first eqn is the dependent variable in the second.  The help file 
> > refers to this as a "Seemingly unrelated bivariate probit model", 
> > which makes me think that it won't do what Guido wants.
> >
> > Any biprobit experts out there who can clarify this?
> You are right: the "seemingly unrelated bivariate probit model" is 
> different from Guido's problem. However, Greene (2000, pp.852-855) shows 
> that in a case where you have a variable that appears on the right hand 
> side of one and on the left hand side of the other equation, the 
> log-likelihood will be the same as in a seemingly unrelated bivariate 
> probit model. Thus, Guido could do:
> . biprobit (y = w x1-xn) (w = z x1-xn)
> A "seemingly unrelated" point: Abadie (2003) presents a semiparametric 
> estimator for the binary outcome - binary instrument case. This 
> estimator is not (yet) implemented in Stata, but Abadie provides some 
> Matlab code: http://ksghome.harvard.edu/~aabadie/larf.html .
>
> Alberto ABADIE, 2003, Semiparametric Instrumental Variable Estimation of 
> Treatment Response Models,  Journal of Econometrics, vol. 113(2), 231-263.
> William GREENE, 2000, Econometric Analysis, 4th edition, Prentice Hall, 
> Upper Saddle River.
>
> jean
>
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