[R] Probit model- endogeneity issue
John C Frain
|r@|nj @end|ng |rom gm@||@com
Tue Apr 6 15:42:28 CEST 2021
On Wed 24 Mar 2021 at 07:54, hannelore nelissen <
hannelore.nelissen using outlook.be> wrote:
> Dear all,
> I am having some issues with using the IV strategy for an endogeneity
> problem in terms of a probit model. In particular, I want to follow a
> two-stage procedure where I estimate a probit on the decision to peg the
> exchange rate, and then use the predicted values in the second stage
> regression. So, I need to get a probability that the country has a peg
> (estimated based on the Z variables). So, in the second stage, I have to
> include this estimated probability of the first stage (and exclude the Z
> variables that showed a significant effect). However, I do not know how to
> get this estimated probability of the first stage which I can then include
> in my second stage?
> Can somebody help me with the command I should use?
> I would really appreciate it, thanks Dear all,
> I find it a bit difficult to follow your question. You might find
Lee (1981), Simultaneous Equation Models with discrete and censored
dependent variables, in Mansfield and McFadden (Ed’s), 346-364, MIT,
helpful in suggesting ways to proceed.
Chapter 19 of Wooldridge :(2010), Econometric Analysis of Cross Section
and Panel Data, Princeton, may also be useful.
You might look at the r packages ivprobit and ivporbit
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John C Frain
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