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

  • Christopher F Baum


    (Boston College
    DIW Berlin)

sspecialreg estimates a binary choice model that includes one or more endogenous regressors using Lewbel and Dong's special regressor method (Econometric Reviews, 2015; 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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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: 03 Sep 2015
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.
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Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
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