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SSPECIALREG: Stata module to estimate binary choice model with discrete endogenous regressor via special regressor method

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Author Info

  • Christopher F Baum

    ()
    (Boston College
    DIW Berlin)

Abstract

sspecialreg estimates a binary choice model that includes one or more endogenous regressors using Lewbel's special regressor method (Journal of Econometrics, 2000). This assumes that the model includes a particular 'special regressor', V, that is exogenous and appears additively in the model. It must be continuously distributed with a large support. A special regressor with thick tails (greater kurtosis) will be more useful as a special regressor. This method has advantages over the linear probability model (estimated with OLS or IV), maximum likelihood and control function methods.

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File URL: http://fmwww.bc.edu/repec/bocode/s/sspecialreg.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/s/ssortedfm.ado
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File URL: http://fmwww.bc.edu/repec/bocode/_/_sspecialreg.ado
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File URL: http://fmwww.bc.edu/repec/bocode/s/sspecialreg.sthlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/b/baum.san2012.pdf
File Function: documentation and example of use
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457546.

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Programming language: Stata
Requires: Stata version 11 and Jann's kdens from SSC (q.v.)
Date of creation: 10 Nov 2012
Date of revision: 30 Apr 2013
Handle: RePEc:boc:bocode:s457546

Note: This module should be installed from within Stata by typing "ssc install sspecialreg". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: special regressor; binary choice; discrete endogenous regressor;

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