[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

> Verzonden vanuit Mail<https://go.microsoft.com/fwlink/?LinkId=550986>
> voor Windows 10
>         [[alternative HTML version deleted]]
> ______________________________________________
> R-help using 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.
John C Frain
3 Aranleigh Park
Dublin 14
mailto:frainj using tcd.ie
mailto:frainj using gmail.com

	[[alternative HTML version deleted]]

More information about the R-help mailing list