[R] Endogenous Tobit/Probit model

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


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

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) .

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


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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Wed Jul 19 02:29:54 2006

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