st: sspecialreg now available

[Christopher Baum <kit.baum@bc.edu>]

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Now available from SSC:

sspecialreg: a routine to estimate binary choice model with discrete endogenous regressor via special regressor method

sspecialreg estimates a binary choice model that includes one or more endogenous regressors using
Lewbel's (2000) special regressor method. 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 latter, as implemented by Stata's 
ivprobit, do not handle discrete or limited endogenous regressors. Unlike the maximum
likelihood approach, the special regressor method allows for heteroskedasticity of unknown
form in the model's error process.

You must also install Ben Jann's -kdens- package from SSC (ssc install kdens).

Documentation in the sspecialreg package includes the Stata Conference 2012 presentation of this routine.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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