Simultaneous system of equation with a continuous and binary dependent variable

[naveed ahmed]

HI,

I am trying to estimate a system of simultaneous equation with one equation with a continuous dependent variable and the other equation with a binary dependent variable.I would very grateful if someone could guide me on how to go about estimating this on stata.

Regards,
Naveed

[Dick Campbell]

You can do this using gsem. Look at example 34g in the SEM manual or help file, That example combines a continuous and a count variable, but you can easily generalize to what you want to do. There is a bit of a learning curve with sem and gsem but gsem is an effective way to accomplish what you want to do.

[naveed ahmed]

Hi Professor Campbell,

Thanks for this. As it happens both the dependent variables are endogenous and hence I am trying to find a way to bring in the instruments. David Roodman`s cmp command may be a way to approach this problem but not sure what the command is for simultaneous equation models with instruments .