[R] TSLS / 2SLS with a binary outcome

[Achim Zeileis]

On Sun, 30 Nov 2014, Philip Robinson wrote:

> Hi,
>
> I am wanting to complete 2 stage least squared regression with a binary 
> outcome. I have found and implemented a continuous outcome with tsls() 
> from the sen package or ivreg() from the AER package.
>
> However I am struggling to find a package/function that implements a 
> function for a binary outcome. If someone could knows of a package or 
> function and could help by pointing me in the right direction I would be 
> most grateful.

Various approaches are used for this in the literature. To the best of my 
knowledge there is no approach that is widely regarded as being "the best" 
but I'm not an expert in this field. A recent overview is in Clarke & 
Windmeijer (2012), JASA 107(500), 1638-1652. 
doi:10.1080/01621459.2012.734171.

Some authors simply fit a linear probability model (i.e., ivreg on a 0/1 
response) but this may lead to poor fits. Other related packages on CRAN 
include ivprobit, ivlewbel, LARF, among others.

hth,
Z

> Kind regards
> Philip
>
> 	[[alternative HTML version deleted]]
>
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