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

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 11 and Jann's kdens from SSC (q.v.)
Keywords: special regressor; binary choice; discrete endogenous regressor (search for similar items in EconPapers)
Date: 2012-11-10, Revised 2016-09-13
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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Handle: RePEc:boc:bocode:s457546