[Limdep Nlogit List] Bivariate Probit Selection for a Tobit model

[Diana Fletschner]

Thank you, Bill. No wonder I couldn't find this anywhere. Do you have a 
suggestion on an alternative model to fit for a problem in which I would 
like to estimate:

y = b0 + b1 X  + b2H + b3W + u  where y has an upper limit of 1 (about 30% 
of the sample is there) and

H = 1 if husband participated in the program and 0 otherwise
W=1 if wife participated in the program and 0 otherwise.

As you can guess, I am interested in b2 and b3.

A possibility is to use instrumental variables but I haven't found how to 
adjust the covariance matrix given that I am instrumenting two variables.

Diana


----- Original Message ----- 
From: "William Greene" <wgreene at stern.nyu.edu>
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Sent: Thursday, August 30, 2007 4:41 PM
Subject: Re: [Limdep Nlogit List] Bivariate Probit Selection for a Tobit 
model


> Diana.  The bivariate probit selectiion model is only supported
> for the linear model, not the tobit model.  Note, the linear
> model is estimated using two step least squares.  The tobit model
> would have to be fit using ML, for a trivariate normal based log
> likelihood.  I have never seen it derived.
> /Bill Greene
>
> ----- Original Message -----
> From: "Diana Fletschner" <fletschn at u.washington.edu>
> To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
> Sent: Thursday, August 30, 2007 4:57:34 PM (GMT-0500) America/Bogota
> Subject: [Limdep Nlogit List] Bivariate Probit Selection for a Tobit model
>
>
> Hello--
>
> I am trying to estimate a Tobit model with a Bivariate Probit selection 
> but cannot get the results I am interested in. This is what I have:
>
> Bivariate Probit;
>    Lhs = p1, p2;
>    rhs = x1;
>    rh2 = x2;
>    wts = ...;
>    hold for SELECT$
>
> Select;
>    Lhs = y;
>    Rhs = x3, p1, p2;
>    wts = ...;
>    all;
>    tobit$
>
> The output I get is only for the Bivariate Probit and the 2sls of the 
> second regression. I do not obtain the Tobit (corrected) results. Is there 
> a way to obtain these results? I would like to use the entire sample for 
> the Tobit to be able to say something about the parameters associated with 
> p1 and p2.
>
> Any help would be much appreciated!
> Diana
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>
> -- 
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY   10012
> http://www.stern.nyu.edu/~wgreene
> 212.998.0876
>
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