[Limdep Nlogit List] Triangular Sim. eqn
Sunil Kumar Singh
ssingh10 at unl.edu
Fri Mar 8 06:01:49 AEDT 2019
Thanks Dr. Greene. Appreciate the quick response. My mistake in outlining the issue. You are right. It is a discrete choice problem with endogenous right hand side continuous variable.
FIML helped to resolve the issue. The technical details in the manual were helpful to comprehend the underlying analysis. I also noticed STATA uses the FIML under IVREGRESS when in reality this is not an instrument variable approach.
From: Limdep <limdep-bounces at mailman.sydney.edu.au> On Behalf Of William Greene via Limdep
Sent: Thursday, March 7, 2019 8:03 AM
To: Limdep and Nlogit Mailing List <limdep at mailman.sydney.edu.au>
Cc: William Greene <wgreene at stern.nyu.edu>
Subject: Re: [Limdep Nlogit List] Triangular Sim. eqn
Control function approach. Add generalized residual,
(y2 - Xp)/sigma2 to first equation. You need exclusions from first equation 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.
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.
> Limdep site list
> Limdep at mailman.sydney.edu.au
Department of Economics
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Email: wgreene at stern.nyu.edu
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