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. The ivreg2 or xtivreg2 options, combined with the first option, provide access to additional diagnostic tests.

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 2021-01-12
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.
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http://fmwww.bc.edu/repec/bocode/s/sspecialreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/ssortedfm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_sspecialreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sspecialreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtspecialreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtspecialreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtspecialreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/baum.san2012.pdf documentation and example of use (application/pdf)

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