st: Nested logit, bivariate probit or Heckman probit?

[XIAOFEI XING <mike.xf.xing@gmail.com>]

Dear Statalist,

I investigate in whether big firms tend to retain top-tier financial advisors to make takeover deals and whether they tend to make in-house deals (no financial advisors retained). I specify a two-level nested model. The tree is shown as follows:
                                                                 
                                                                 Advisor Selection
                         Retaining Advisors                                             In-House Deals
      Top-Tier Advisors     Non-Top-Tier Advisors                    In-House Deals 


Level 1 is retaining advisors/in-house deals contrast. In other words, I investigate whether big firms tend to retain financial advisors or conduct in-house deals.

In Level 2, for deals that retain advisors, I investigate whether big firms tend to retain top-tier advisors rather than non-top-tier advisors.

Therefore, in each level, I should include a same variable - "FirmSize". However, Stata tell me: "variable FirmSize is specified in more than one equation; this is not allowed."

How can I address this issue? Does it mean that the same independent variable cannot be used in the two levels of a nested logit model?

I also check the definition of bivariate probit model and Heckman probit. However, I don't think my case is suitable to the bivariate probit or Heckman probit.

Thanks a lot.

Xiaofei Xing


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