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probit
2009 Jul 01
0
probit with sample selection error?
...it equation
Thanks much
Codes:
require(mvtnorm)
obs=1000
sig=matrix(c(1,0.7,0.7,1),2,2)
mu=c(0,0)
e = rmvnorm(obs,mu,sig);
x1 = rnorm(obs);x2=rnorm(obs);x3=rnorm(obs);
y1 = as.integer(1+2*x1-2*x2+e[,1]>0)
y2 = as.integer(0.2-2*x2+x3+e[,2]>0)
x1 = cbind(1,x1,x2);
x2 = cbind(1,x2,x3)
iprobit<-function(y,x){
bstart = solve(qr(x),y)
b=optim(bstart,probll,y=y,x=x,hessian=F)$par
return(b)
}
probll<-function(bstart,y,x){
prob=pnorm(x%*%bstart);
ll= -sum(y*log(prob)+(1-y)*log(1-prob));
return(ll)
}
heckprob<-function(y1,x1,y2,x2){
bstart = as.vector(c(iprobit(y1,x1),iprobit(y2,x2)...