Stata has the very useful command
ivprobit. For example:
use http://www.stata-press.com/data/r11/laborsup.dta ivprobit fem_work fem_educ kids (other_inc = male_educ)
Is there a package for doing this in R?
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There is a package
ivprobit for R, which does the same:
library(ivprobit) #load data dat<-system.file("data","eco.RData",package="ivprobit") load(dat) pro<-ivprobit(d2~ltass+roe+div,cbind(eqrat,bonus)~ltass+roe+div+gap+cfa,mydata) summary(pro)
There is the SemiParBIVProbit package which allows you to model fit continuous variables flexibly, but is simple to use without that functionality.