[R] Endogenous Tobit/Probit model

From: Leandro Magnusson <Leandro_Magnusson_at_brown.edu>
Date: Wed 19 Jul 2006 - 02:21:52 EST


Hi

I would like to know if there is a package that allows me to implement endogenous Tobit/Probit model.
Example:

res1 <- rnorm(N);
res2 <- res1*0.5 + rnorm(N)

x      <-  z[,1]*2 + res1;
ys     <- x*b + res2;
d      <- (ys>0); #dummy variable
 y      <- d*ys;

y is censored and x is correlated with res1. z is my instrument. (continuously observed) .
Therefore

survreg(Surv(y, y > 0, type ='left')~ 0 + x , dist = 'gaussian')

will give biased estimates.

I also need to know the variance-covariance matrix for the parameters of the model

Thanks for any information

Leandro



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