John Fox
2022-Sep-28 21:33 UTC
[R] How to obtain a consistent estimator with a binary response model with endogenous explanatory variables?
Dear John (again), I was surprised that you were unable to find an existing R function that estimates a probit model by IV and so I tried a Google search for "probit instrumental variables R", which turned up the ivprobit package as the first hit. That package is also mentioned in the Econometrics CRAN taskview <https://cran.r-project.org/web/views/Econometrics.html>. The model fit by the ivprobit() function in the ivprobit package is a bit more general than the one in Wikipedia (at least by my quick reading of both) in that it permits more than one endogenous explanatory variable. Best, John John Fox, Professor Emeritus McMaster University Hamilton, Ontario, Canada web: https://socialsciences.mcmaster.ca/jfox/ On 2022-09-28 3:47 p.m., John Fox wrote:> Dear John, > > The Wikipedia page to which you refer appears to have all the > information you need to write your own straightfoward R program for the > 2SLS or ML estimator for a probit model. > > I hope this helps, > ?John > > On 2022-09-28 8:50 a.m., Sun, John wrote: >> Dear All, >> >> I stumbled on a Wikipedia page describing the Two stage least-squares >> with a probit model with implementing a consistent estimator in binary >> variable regression. >> How do I implement this method in R? It is related to instrumental >> variables estimator. I looked in ivreg and plm package and found >> nothing I think related. >> https://en.wikipedia.org/wiki/Binary_response_model_with_continuous_endogenous_explanatory_variables >> >> Best regards, >> John >> >> ______________________________________________ >> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code.