[R] Endogenous Tobit/Probit model

Leandro Magnusson Leandro_Magnusson at brown.edu
Tue Jul 18 18:21:52 CEST 2006


I would like to know if there is a package that allows me to implement 
endogenous Tobit/Probit  model.

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) .

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


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