Hi I would like to know if there is a package that allows me to implement endogenous Tobit/Probit model. Example: res1 <- rnorm(N); res2 <- res1*0.5 + rnorm(N) x <- z[,1]*2 + res1; ys <- x*b + res2; d <- (ys>0); #dummy variable y <- d*ys; y is censored and x is correlated with res1. z is my instrument. (continuously observed) . Therefore survreg(Surv(y, y > 0, type ='left')~ 0 + x , dist = 'gaussian') will give biased estimates. I also need to know the variance-covariance matrix for the parameters of the model Thanks for any information Leandro