Martin,
If I recall the Washington DC presentation of David Roodman,
he maintained that these models could not handle heteroskedasticity.
- Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Martin Weiss <[email protected]>
Date: Thursday, October 8, 2009 8:54 am
Subject: st: AW: simultaneous probit model
To: [email protected]
> <>
>
> Have you had a look at -ssc d cmp-?
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Marie-Benoit
> MAGRINI
> Gesendet: Donnerstag, 8. Oktober 2009 14:49
> An: [email protected]
> Betreff: st: simultaneous probit model
>
> Hello,
>
> I am looking for a program allowing me to implement the « model 6 » in
>
> the book of Maddala (1983, ?Limited dependent and qualitative
> variables in econometrics?, chapter 8 about the two-stage estimation
>
> methods, page 246).
>
> That is, I am trying to estimate the following simultaneous probit
> model :
>
> (1) Y1 = a*Y2 + b*X1 + e1
>
> (2) Y2 = b*Y1 + c*X2 + e2
>
> where Y1 and Y2 are two endogeneous binary variables; X1 and X2 are
> two sets of exogenous variables of Y1 and Y2 respectively; e1 and e2
>
> the error terms.
>
> Y1 and Y2 are endogenously determined by each other.
>
> I have looked at the ?cdsimeq? program but I understand that it
> corresponds to the model where one dependent variable is continuous
> and the other binary. So it cannot be used in my case.
>
> I have also looked at the ?biprobit? procedure but I understand that
>
> it is adapted only for recursive model that is only one dependent
> variable is an explicative of the other one (the model 6 I?ve been
> trying to estimate is not recursive).
>
> Could someone tell me if this simultaneous probit model can be
> estimated with STATA ?
>
> best regards,
>
> mb magrini
>
> using Stata 10
>
> --------------------------------------------------------------
> Marie-Benoît MAGRINI
> PhD in Economics
> INRA - French National Institute for Agricultural Research
> UMR1248 AGIR
> BP 52627
> 31326 Castanet Tolosan
> FRANCE
> Phone: 33 (0)5 61 28 54 22
> Fax: 33 (0)5 61 73 20 77
> email: [email protected]
> http://www.toulouse.inra.fr/agir
> http://www.international.inra.fr
> ---------------------------------------------------------------
>
>
>
>
>
>
>
> *
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
> *
> * For searches and help try:
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> * http://www.ats.ucla.edu/stat/stata/
*
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