st: IVTOBIT with 2 PROBITS on first stage...

["Diana Fletschner" <fletschn@u.washington.edu>]

Hello--

I am trying to estimate a TOBIT model with two endogenous binary variables. 
That is, a model like:
y = b0 + b1 X1  + b2 X2 + ... + u
where y has an upper bound of 1 and X1 and X2 are either 0 or 1.  I would 
like to instrument X1 and X2 using either two PROBIT models (or even better, 
a BIVARIATE PROBIT model since the error terms for X1 and X2 are likely to 
be correlated).

I have tried using IVTOBIT but cannot get results:
* if I use the FIML option, it tells me the function is not concave.
* if I use the two step option (which I'd prefer), I encounter two problems:
1) the first stage uses OLS not PROBITs; and,
2) I cannot use pweights, something I need given my sample.

If you have any suggestions on how to approach this problem, I would love to 
hear from you. Any help would be much appreciated.

Thanks!
Diana


_________________________________
Diana Fletschner
Assistant Professor
Daniel J. Evans School of Public Affairs
University of Washington
(206) 616-1297

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/