IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this software component

PROBITIV: Stata module to perform instrumental variables probit

Listed author(s):
  • Jonah B. Gelbach


    (University of Maryland at College Park)

This module implements the method of Whitney Newey, 'Efficient Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables', Journal of Econometrics (1987). The standard errors are not correct, since I didn't account for the fact that the RHS endog variables (and the residuals from the equations predicting them are predicted and therefore have some sampling variance/covariance with the other explanatory variables. However, the point estimates will be consistent. The syntax is as follows: probitiv , endog( ) exog( ) iv( ) stage1( ) where is the name of the dep. variable, is the list of endogenous rhs vars, is the list of exog rhs vars that are included in the structural (i.e. second stage) probit, is the list of instruments for the endog rhs vars, and is either 'probit', 'linear', or empty. If empty or 'linear', the first stage equations are run as OLS. If probit, they are (all) run as probits. The programs uses the same instruments for all first stage equations. To use different instruments for multiple endog rhs vars, you would need to generalize the code.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: program code
Download Restriction: no

File URL:
File Function: program code
Download Restriction: no

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S371401.

in new window

Programming language: Stata
Date of creation: 10 Mar 1999
Handle: RePEc:boc:bocode:s371401
Contact details of provider: Postal:
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
Web page:

More information through EDIRC

Order Information: Web:

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s371401. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.