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Estimating interaction effects in probit models with endogenous regressors: eivprobit

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  • Zhou Xianbo

    (Sun Yat-sen University)

Abstract

The interaction effect in endogenous probit models with an interaction term is consistently estimated in Zhou and Li (2021). However, the estimation and test are time-consuming when the sample size is large. In this presentation, a new Stata command, eivprobit, is developed to implement Zhou–Li's method in much less time. Besides, the marginal effects of the two interacted regressors and the quadratic effect of a regressor with a squared term can also be estimated by the command. The eivprobit estimation is based on the control function approach and the standard errors of the estimated effects are obtained by nonparametric bootstrapping. Moreover, the

Suggested Citation

  • Zhou Xianbo, 2024. "Estimating interaction effects in probit models with endogenous regressors: eivprobit," Chinese Stata Conference 2024 07, Stata Users Group.
    • Handle: RePEc:boc:chin24:07
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    File URL: http://repec.org/chin2024/China24_Zhou_X.pdf
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