re: st: Estimation of a Simultaneous Equation Tobit Model with Stata

[Kit Baum <baum@bc.edu>]

<>	
Carlos wrote

I want to estimate a simultaneous equation tobit model with stata;

y1=x1-x5 y2
y2=x1-x5 y1

Have an idea on how to estimate such system? or some sample code?

Per advice commonly given on this list, it is a misconception that  
this must be done with a systems estimator. Just use -ivtobit- on each  
equation. But as it stands, the equations of this system are  
unidentified. If you ignored the censored nature of the y's and tried  
to estimate this with instrumental variables, you would find there are  
no available instruments. That needs to be fixed to estimate these  
equations by any method. That is, either there are plausible exclusion  
restrictions that cause certain X's not to appear in both equations,  
or there need to be additional variables available as excluded  
instruments.

Kit


Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html



*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/