[Limdep Nlogit List] Triangular Sim. eqn

William Greene wgreene at stern.nyu.edu
Fri Mar 8 01:02:42 AEDT 2019

Control function approach.  Add generalized residual,
(y2 - Xp)/sigma2  to first equation.  You need exclusions from first
to identify system.  First equation is incorrect.  Categorical variable is
not a
linear function of RHS variables.   Use a discrete choice model for y1.
that y1 equals values is the function modeled.  There is also a FIML
approach if
(u1,v2) joint normal, but you need to specify equation properly, as noted.
/B. Greene

On Thu, Mar 7, 2019 at 5:53 AM Sunil Kumar Singh via Limdep <
limdep at mailman.sydney.edu.au> wrote:

> Hi - I wanted to check if anyone knew how to solve for triangular
> simultaneous equations in Limdep.
> My equations are as follows -
> Y1 = Y2θ +Xβ +u1 (1)
> Y2 = Xπ +v2 (2)
> Y1  is categorical and Y2 are continuous. Correlation of (u1,v2) is not
> equal to 0.
> Thanks
> Sunil
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William Greene
Department of Economics
Stern School of Business, New York University
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Email: wgreene at stern.nyu.edu
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