English, Article edition: IVPROB-IVTOBIT6: Stata modules to estimate instrumental variables probit and tobit Joseph Harkness

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Physical Description
  • code
Language
  • English

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Title
  • IVPROB-IVTOBIT6: Stata modules to estimate instrumental variables probit and tobit
Author
  • Joseph Harkness
Physical Description
  • code
Notes
  • These programs implement Amemiya Generalized Least Squares (AGLS) estimators for probit and tobit with endogenous regressors. Newey (J.Metr. 1987, eq. 5.6) provides the formulas used. The endogenous regressors are treated as linear functions of the instruments and the other exogenous variables. ivprob and ivtobit are used for estimating probit models where one or more of the independent variables is endogenous. Neither weights nor the robust option are implemented. divprob produces marginal effects for ivprob. The ivtobit6 routine was previously named ivtobit, but renamed to avoid confusion with Stata 9's ivtobit command. Stata 9.x users should use official ivprobit and ivtobit.
  • probit, tobit, instrumental variables
  • RePEc:boc:bocode:s415801
Language
  • English
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