CFBINOUT: Stata module to perform Control Function Estimation of Binary Outcome Models

Elena Yurkevich () and Harald Tauchmann
Additional contact information
Elena Yurkevich: Friedrich-Alexander-Universität Erlangen-Nürnberg

Statistical Software Components from Boston College Department of Economics

Abstract: cfbinout implements control function (two-stage residuals inclusion) estimation of binary outcome models, specifically logit, probit, and cloglog, as suggested in Wooldridge (2015). That is, in a first stage the endogenous right-hand-side variables are regressed on the exogenous variables in the model. Subsequently, the (generalized) residuals from these regressions enter the second-stage regression as additional regressors. Regarding the implementation in Stata and Mata, cfbinout draws on Terza (2017, 2023). cfbinout complements the official Stata command ivprobit, twostep and the recent community-contributed command ivcloglog. Unlike ivprobit, twostep and ivcloglog, cfbinout allows for discrete/factor endogenous right-hand-side variables. For them, nonlinear first-stage models (default logit, alternatively probit) are estimated and generalized residuals are included in the second-stage regression, unless the option fslink(linear) is specified. With a probit link-function and the option fslink(linear), cfbinout probit is equivalent to ivprobit, twostep in terms of model estimation. An important difference is, however, that unless the option noresgenerate is specified, cfbinout takes the control functions (included residuals) into account in postestimation. The equivalence of cfbinout probit is even closer with cfprobit, an official Stata command that was released for StataNow almost at the same time as cfbinout was completed.

Language: Stata
Requires: Stata version 14
Keywords: binary outcome; control-function estimation; generalized residual; two-step estimation; endogenous right-hand-side variables (search for similar items in EconPapers)
Date: 2025-02-04
Note: This module should be installed from within Stata by typing "ssc install cfbinout". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cfbinout.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_llcfbin_v.do program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cfbinout.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459417

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().