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ivporbit:An R package to estimate the probit model with continuous endogenous regressors

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  • Zaghdoudi, Taha

Abstract

One of the most important problem of misspecification in the probit model is the correlation between regressors and error term. To deal with this problem, some commercial software gives a solution such as Stata. For the famous R language the ivprobit gives the users the way to estimate the instrumental probit model.

Suggested Citation

  • Zaghdoudi, Taha, 2014. "ivporbit:An R package to estimate the probit model with continuous endogenous regressors," MPRA Paper 72383, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:72383
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    File URL: https://mpra.ub.uni-muenchen.de/72383/1/MPRA_paper_72383.pdf
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    References listed on IDEAS

    as
    1. Amemiya, Takeshi, 1978. "The Estimation of a Simultaneous Equation Generalized Probit Model," Econometrica, Econometric Society, vol. 46(5), pages 1193-1205, September.
    2. Richard W. Blundell & James L. Powell, 2004. "Endogeneity in Semiparametric Binary Response Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(3), pages 655-679.
    3. Newey, Whitney K., 1987. "Efficient estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 36(3), pages 231-250, November.
    4. Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Instrumental variables; probit model; generalized least squares estimator;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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