[Limdep Nlogit List] IVTOBIT with 2 PROBITS on first stage...

[Diana Fletschner]

Hello--

I am trying to estimate a TOBIT model with two endogenous binary variables. That is, a model like:
y = b0 + b1 X1  + b2 X2 + ... + u
where y has an upper bound of 1 and X1 and X2 are either 0 or 1.  I would like to instrument X1 and X2 using two PROBIT models (or even better, a BIVARIATE PROBIT model since the error terms for X1 and X2 are likely to be correlated).

My question is how to calculate the standard errors of the marginal effects of the variables in the TOBIT model. If you have any suggestions on how to approach this problem, I would love to hear from you. Any help would be much appreciated.

Thanks!
Diana


_________________________________
Diana Fletschner
Assistant Professor
Daniel J. Evans School of Public Affairs
University of Washington
(206) 616-1297