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

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

Programming Language

Stata

Abstract

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. The xtspecialreg command estimates the model in a panel data setting, with the data xtset or tsset. The ivreg2 or xtivreg2 options, combined with the first option, provide access to additional diagnostic tests.

Suggested Citation

  • Christopher F Baum, 2012. "SSPECIALREG: Stata module to estimate binary choice model with discrete endogenous regressor via special regressor method," Statistical Software Components S457546, Boston College Department of Economics, revised 12 Jan 2021.
    • Handle: RePEc:boc:bocode:s457546
    Note: This module should be installed from within Stata by typing "ssc install sspecialreg". 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

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/sspecialreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/ssortedfm.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_sspecialreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/sspecialreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtspecialreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtspecialreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtspecialreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/baum.san2012.pdf
    File Function: documentation and example of use
    Download Restriction: no
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