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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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  • $\begingroup$ If you Google it, you will find some nice tutorials like this. $\endgroup$ – Epaminondas May 6 '14 at 19:39
  • $\begingroup$ That link is for probit, I need IV Probit $\endgroup$ – Ignacio May 6 '14 at 19:44
  • $\begingroup$ You are right. My apologies... $\endgroup$ – Epaminondas May 6 '14 at 19:48
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There is a package ivprobit for R, which does the same: http://cran.r-project.org/web/packages/ivprobit/index.html

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)
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There is the SemiParBIVProbit package which allows you to model fit continuous variables flexibly, but is simple to use without that functionality.

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