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st: Censored Least Absolute Deviation and Probit
From
Reshmi Sengupta <[email protected]>
To
[email protected]
Subject
st: Censored Least Absolute Deviation and Probit
Date
Sun, 4 Mar 2012 10:58:15 -0600
Dear Friends,
I need your help on the following question:
Can I estimate a CLAD (Censored Least Absolute Deviation) and a Probit
model simultaneously?
I have the following 2 equations:
(1) Y1*=a0 + a1*Y2* + a2*X1 + e1
where Y1=1 if Y1*>0
and Y1=0 if otherwise
(2) Y2*=b0 + b1*Y1*+ b2*X2+e2
where Y2=Y2* if Y2*>0
and Y2=0 if otherwise
I am trying to estimate equation (1) using Probit Maximum Likelihood
(ML) and equation (2) using CLAD.
Please let me know.
I will sincerely appreciate any help.
Best Regards,
R. Sengupta
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