[Limdep Nlogit List] A simultaneous model for y and z with y limited to (0, 1) and z truncated c

[Russell Rimmer]

Dear Cathy,
Thanks for your response.  I will look at the chapter.  I would have done so before now but have been away at conferences.

I note too that my message has again re-appeared on the mailing list - without me re-submitting it!

Regards,
Russell

Russell Rimmer
Professor of Strategic and Human Resource Management
Paisley Business School
University of Paisley
Paisley PA1 2BE
Tel: 0141 848 3447
Fax: 0141 848 3614

>>> "Durham, Cathy" <cathy.durham at oregonstate.edu> 25/06/07 16:45:03 >>>
Russell, I haven't used this but remembered seeing a section that might
help
in the Limdep 8.0 manual. I found it discussed in appendix e21
(p.E21-119):
"Two-step estimation methods for multiple equation models".
Prior to that section are some examples that meet similar needs.
Cathy


-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au 
[mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Russell
Rimmer
Sent: Sunday, June 24, 2007 8:41 AM
To: limdep at limdep.itls.usyd.edu.au 
Subject: [Limdep Nlogit List] A simultaneous model for y and z with y
limited to (0, 1) and z truncated count

Dear Limdepers,
I submitted the message below a little while ago.  Since then I have
not made progress on the estimations I'm hoping to undertake.  I thought
I would re-post in the hope that someone can point me in the correct
direction.

Regards,
Russell

Dear Subscribers, 
I would like to estimate the following model:
y = a0 + a1*z + a2* z^2 +a3*(lagged y) + controls
z = b0 + b1*y + b2*(lagged y)

y is restricted to the unit interval (0, 1) and z consists of the
counts 0, 1, 2, 3, 4, 5 and 6.  I have data for two periods only.

Using nonlinear 3SLS I have estimated a similar system excluding the
term in z^2 and treating y as NOT restricted to (0, 1).  However, I
don't know how to estimate the two parameters in the beta distribution
for y when it is restricted to (0, 1) while simulataneously estimating
both y and z.

Can anyone help please?

Regards,
Russell


Russell Rimmer
Professor of Strategic and Human Resource Management
Paisley Business School
University of Paisley
Paisley PA1 2BE
Tel: 0141 848 3447
Fax: 0141 848 3614


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