The gateway, or stepping stone, hypothesis is important as it has had considerable influence on drug policy and legislation in many countries. The gateway hypothesis offers one possible explanation for young people's development of serious drug problems. It simply states that the use of one drug increases the risk of starting to consume another, possibly more harmful, drug later on and that the risk increases with frequency of use (dose-response). The empirical basis for the hypothesis is the common finding that most heavy drug users have started with less dangerous drugs first and that there seems to be a "staircase" from alcohol and solvents via cannabis and tablets to amphetamine, cocaine and heroin. The core question is whether the sequential initiation pattern of drug use is best explained by the gateway hypothesis or whether the phenomenon is better understood by employing the concepts of accessibility and/or transition proneness? Based on unique data from a representative sample of 21-30 year olds in Oslo we have examined the gateway effect of both legal (alcohol) and illegal drugs (cannabis) on subsequent use of cannabis and hard drugs (amphetamine and cocaine). We are the first to use multivariate probit models to examine the hypothesis. The models take into account unobservable individual-specific effects to reduce the possibility of a spurious effect of soft drug use on the onset of hard drug use. The gateway effects are greater when we do not take account of unobserved heterogeneity, but, although substantially reduced, they remain considerable when unobserved factors are accounted for.