..
See also
http://www.stata.com/statalist/archive/2004-12/msg00321.html
on the use of -biprobit- plus an alternative (Abadie 2003) that would
be easy to translate to Mata. See also Angrist 2000:
http://www.nber.org/papers/t0248
On 11/20/07, Austin Nichols <[email protected]> wrote:
> There is a serious flaw in that two-step logit model--it is not
> consistent, and is an example of what Wooldridge (2002) calls the
> "forbidden regression" (see section 15.7.3, pp.477-478). That same
> section discusses the MLE for probit with a binary endogenous
> variable.
>
> Wooldridge, J.M. 2002. Econometric Analysis of Cross Section and Panel
> Data. Cambridge, MA: MIT Press.
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