"Dear Statalist Users
I am estimating a set of simultaneous equations as below:
Y=a0 + a1E+ a2X + e
E= b0 + b1Y+ b2X+v
Where E is a dichotomous variable and Y is a continuous variable. X is a set of exogenous variable.
I want to estimate this system of equation using the Two Stage Probit Least Square (2SPLS) method. The explained method for 2SPLS in literature is that we first estimate Y and E equations using exogenous variables and use their predicted values as instruments for second stage regression. However, when I implement cdsimeq in stata, I get an error message that advice me to check for exclusion criteria. At this point I am not sure if I need to use, beside exogenous variables (X), instruments for Y and E in the first stage. I went through several papers that use 2SPLS but did not find clear explanation for if they have used separate instruments .
Your response will be highly appreciated."
-Dadhi Adhikari
I am estimating a set of simultaneous equations as below:
Y=a0 + a1E+ a2X + e
E= b0 + b1Y+ b2X+v
Where E is a dichotomous variable and Y is a continuous variable. X is a set of exogenous variable.
I want to estimate this system of equation using the Two Stage Probit Least Square (2SPLS) method. The explained method for 2SPLS in literature is that we first estimate Y and E equations using exogenous variables and use their predicted values as instruments for second stage regression. However, when I implement cdsimeq in stata, I get an error message that advice me to check for exclusion criteria. At this point I am not sure if I need to use, beside exogenous variables (X), instruments for Y and E in the first stage. I went through several papers that use 2SPLS but did not find clear explanation for if they have used separate instruments .
Your response will be highly appreciated."
-Dadhi Adhikari