Re: st: simultaneous probit model

[Partha Deb <partha.deb@hunter.cuny.edu>]

<>
Notation is important here.  The model you have written down is not 
quite model 6 in Maddala.  Model 6 has

(1) Y1* = a*Y2* + b*X1 + e1
(2) Y2* = b*Y1* + c*X2 + e2

i.e., the endogenous regressors on the RHS are the latent indices 
underlying Y1 and Y2, not the binary indicators themselves.  If this is 
the model you want, Maddala, on the pages you've cited, outlines a 
2-step plug in method.  That's straightforward to implement.  Standard 
errors are more complicated, but you could just bootstrap it all to get 
consistent standard errors.

best.

Partha


Marie-Benoit MAGRINI wrote:
> 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: mbmagrini@toulouse.inra.fr
> http://www.toulouse.inra.fr/agir
> http://www.international.inra.fr
> ---------------------------------------------------------------
>
>
>
>
>
>
>
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--
Partha Deb
Professor of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

Emancipate yourselves from mental slavery
None but ourselves can free our minds.
	- Bob Marley


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