epmrob {epmrob}

Robust Fit of Probit Model with Endogeneity

Description

Fits the endogenous probit model using a robust two-stage estimator.

Usage

epmrob(reduced, outcome, data, control = rob.control())

Arguments

reduced

formula, the reduced equation.

outcome

formula, the outcome equation.

data

an optional data frame containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from which epmrob is called.

control

a list of parameterse for controlling the fitting process.

Details

Compute robust two-step estimates of the endogenous probit model. The robust linear regression is fitted in the first stage. In the second stage a Mallows-type M-estimator is used instead of the probit MLE. The values of the tuning constants and the robustness weights can be modified in rob.control.

Value

Object of class "epmrob".

coefficients

a named vector of coefficients

stage1

object of class rlm that contains first stage robust fit

stage2

object of class glmrob that contains second stage robust probit fit. Note that the standard errors in this object are biased, since they are not corrected for the uncertainty in the first estimation step. Use vcov below

vcov

variance matrix of the second stage

call

the matched call

Author(s)

Mikhail Zhelonkin, Andre Bik, Andrea Naghi

References

Naghi, A. A., Varadi, M., and Zhelonkin, M. (2022). Robust Estimation of Probit Models with Endogeneity. Econometrics and Statistics. doi:10.1016/j.ecosta.2022.05.001

See Also

rlm, rob.control