[R] How to obtain a consistent estimator with a binary response model with endogenous explanatory variables?

John Fox j|ox @end|ng |rom mcm@@ter@c@
Wed Sep 28 23:33:58 CEST 2022

Dear John (again),

I was surprised that you were unable to find an existing R function that 
estimates a probit model by IV and so I tried a Google search for 
"probit instrumental variables R", which turned up the ivprobit package 
as the first hit. That package is also mentioned in the Econometrics 
CRAN taskview <https://cran.r-project.org/web/views/Econometrics.html>.

The model fit by the ivprobit() function in the ivprobit package is a 
bit more general than the one in Wikipedia (at least by my quick reading 
of both) in that it permits more than one endogenous explanatory variable.


John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
web: https://socialsciences.mcmaster.ca/jfox/

On 2022-09-28 3:47 p.m., John Fox wrote:
> Dear John,
> The Wikipedia page to which you refer appears to have all the 
> information you need to write your own straightfoward R program for the 
> 2SLS or ML estimator for a probit model.
> I hope this helps,
>   John
> On 2022-09-28 8:50 a.m., Sun, John wrote:
>> Dear All,
>> I stumbled on a Wikipedia page describing the Two stage least-squares 
>> with a probit model with implementing a consistent estimator in binary 
>> variable regression.
>> How do I implement this method in R? It is related to instrumental 
>> variables estimator. I looked in ivreg and plm package and found 
>> nothing I think related.
>> https://en.wikipedia.org/wiki/Binary_response_model_with_continuous_endogenous_explanatory_variables
>> Best regards,
>> John
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