[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. 

Best Regards,

-----Original Message-----
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.
/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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Editor in Chief: Journal of Productivity Analysis Editor in Chief: Foundations and Trends in Econometrics Associate Editor: Economics Letters Associate Editor: Journal of Business and Economic Statistics Associate Editor: Journal of Choice Modeling _______________________________________________
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