topic Re: Simultaneous probit models in Statistical Procedures

Simultaneous probit models

Coming98 — Tue, 28 Feb 2017 00:45:58 GMT

I'd really appreciate it if someone could offer some suggestions or point me to the correct SAS PROC.

I am trying to estimate a system of two probit models:

Y1 = Y2 + X1 + X3

Y2 = Y1 + X1 + X2 + X4

The bivariate probit model shows clearly that Y1 and Y2 are correlated. Could someone tell me which SAS PROC handles this type of estimation? Thanks a lot!

Re: Simultaneous probit models

StatDave — Tue, 28 Feb 2017 15:46:01 GMT

PROC QLIM in SAS/ETS® can fit a bivariate probit model.

Re: Simultaneous probit models

Coming98 — Tue, 28 Feb 2017 15:51:52 GMT

Thank you for your response!

I did use QLIM to run a bivariate probit model and I found Y1 and Y2 to be significantly correlated.

A theory suggests that Y1 might affect Y2 but not vice versa. In order to test that, I'd like to run two probit models simultaneously with Y2 included as Y1's explanatory variable and Y1 included as Y2's explanatory variable. Can QLIM do that as well?

Again, sorry for the basic question but I did not find that in the supporting doc. Thanks for your help.