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IVPROB-IVTOBIT6: Stata modules to estimate instrumental variables probit and tobit

Author

Listed:
  • Joseph Harkness

    (Institute for Policy Studies, The Johns Hopkins University)

Programming Language

Stata

Abstract

These programs implement Amemiya Generalized Least Squares (AGLS) estimators for probit and tobit with endogenous regressors. Newey (J.Metr. 1987, eq. 5.6) provides the formulas used. The endogenous regressors are treated as linear functions of the instruments and the other exogenous variables. ivprob and ivtobit are used for estimating probit models where one or more of the independent variables is endogenous. Neither weights nor the robust option are implemented. divprob produces marginal effects for ivprob. The ivtobit6 routine was previously named ivtobit, but renamed to avoid confusion with Stata 9's ivtobit command. Stata 9.x users should use official ivprobit and ivtobit.

Suggested Citation

  • Joseph Harkness, 2000. "IVPROB-IVTOBIT6: Stata modules to estimate instrumental variables probit and tobit," Statistical Software Components S415801, Boston College Department of Economics, revised 24 Oct 2005.
    • Handle: RePEc:boc:bocode:s415801
    Note: This module may be installed from within Stata by typing "ssc install ivprob-ivtobit6". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/d/divprob.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/divprob.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivprob.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivprob.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivtobit6.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivtobit6.hlp
    File Function: help file
    Download Restriction: no
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