[Limdep Nlogit List] Simultaneous equations with one ordered probit

M Goergen M.Goergen at sheffield.ac.uk
Sun Jun 15 02:47:05 EST 2008


Dear Bill

I have had a look at the paper you have suggested, but it does not seem to
relate to what I am afrer. Essentially, the system of simultaneous equations I
want to estimate is as follows:

Y1 = a1 + b1*Z + c1*Y2 + e1

Y2 = a2 + b2*Z + c2*Y1 + e2

Y3 = a2 + b3*Z + c3*Y1 + d*Y2 + e3

where Y3 is an ordinal variable and all other variables are continuous
variables.

Best wishes,

Marc 


Quoting M Goergen <M.Goergen at sheffield.ac.uk>:

> Dear William
> 
> Thank you very much for your help with this. I shall have a look at the Rice
> et
> al. paper.
> 
> All the best,
> 
> Marc
> 
> 
> Quoting William Greene <wgreene at stern.nyu.edu>:
> 
> > Marc. You cannot use 3sls with an ordered probit model. The dependent
> > variable is just a label for an outcome, not a quantitative measure.
> > Also, chances are, you are using the textbook benchmarks for
> indentification
> > of your model, which are also wrong because you have a discrete dependent
> > variable.
> > There is a recent paper in JAE by Rice, Contoyannis and Jones that deals
> > with an endogenous ordered outcome variable that you might find useful.
> > /Bill Greene
> > 
> > ----- Original Message -----
> > From: "Marc Goergen" <m.goergen at sheffield.ac.uk>
> > To: limdep at limdep.itls.usyd.edu.au
> > Sent: Friday, June 13, 2008 4:25:50 AM (GMT-0500) America/Bogota
> > Subject: [Limdep Nlogit List] Simultaneous equations with one ordered
> probit
> > 
> > Dear all
> > 
> >  
> > 
> > I would appreciate your help with the following. I would like to estimate
> a
> > system of three equations using 3SLS. Two of the equations are linear
> > regressions. The third regression is an ordered probit/logit. Is this
> > something that can be done with Limdep?
> > 
> >  
> > 
> > Best wishes,
> > 
> >  
> > 
> > Marc Goergen
> > 
> >  
> > 
> >  
> > 
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> > 
> > 
> > -- 
> > 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
> > 
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> > 
> 
> 
> -- 
> Prof. Marc Goergen
> Sheffield University Management School (SUMS)
> Sheffield University
> 9 Mappin Street
> Sheffield S1 4DT
> UK
> 
> Tel: +44 (0)114 222 3488 (direct line)
> Tel: +44 (0)114 222 3379 (Ms Karen Hector - secretary)
> Fax: +44 (0)114 222 3348
> 
> European Corporate Governance (ECGI) Research Associate
> http://www.ecgi.org
> 
> SSRN author page:
> http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=29035
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
> 


-- 
Prof. Marc Goergen
Sheffield University Management School (SUMS)
Sheffield University
9 Mappin Street
Sheffield S1 4DT
UK

Tel: +44 (0)114 222 3488 (direct line)
Tel: +44 (0)114 222 3379 (Ms Karen Hector - secretary)
Fax: +44 (0)114 222 3348

European Corporate Governance (ECGI) Research Associate
http://www.ecgi.org

SSRN author page:
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=29035



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