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@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.
______________________________________________
R-help@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.
