ivprobit
ivprobit:An R package to estimate the instrumental variables probit model - Published in JOSS (2018)
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Published in Journal of Open Source Software
Repository
ivprobit fit an Instrumental variables probit model using the generalized least squares estimator
Basic Info
- Host: GitHub
- Owner: zedtaha
- Language: R
- Default Branch: master
- Size: 193 KB
Statistics
- Stars: 1
- Watchers: 1
- Forks: 1
- Open Issues: 4
- Releases: 0
Metadata Files
README.md
output: github_document
ivprobit-1.1
ivprobit fit an Instrumental variables probit model using the generalized least squares estimator
Example
To dwonload the package you can just type install.packages("ivprobit") in R or Rstudio.
```R
load the package
library(ivprobit) ```
The data we use in this example represents the Foreign-Exchange Derivatives Use By Large U.S. Bank Holding Companies from 1996 to 2000.
```R
load the database
data(eco) ```
The function is :
- The formula is y~x|y2|z
- y: the dichotomous l.h.s vector
- x: the r.h.s. exogenous variables matrix.
- y2: the r.h.s. endogenous variables vector or matrix
- z: the complete set of instruments (a matrix) data: the dataframe
In this example we have d2 the dichotomus l.h.s vector, the r.h.s exogenous variables are (ltass,roe and div), the r.h.s. endogenous variables matrix is (eqrat,bonus) and the instrumental variables are (ltass,roe,div,gap,cfa).
```R
fit the instrumental probit model
pro<-ivprobit(d2~ltass+roe+div|eqrat+bonus|ltass+roe+div+gap+cfa,eco) # the results summary summary(pro) ```
License
All code is licensed GPL-3
Owner
- Name: Taha Zaghdoudi
- Login: zedtaha
- Kind: user
- Repositories: 2
- Profile: https://github.com/zedtaha
PhD economics and assistant researcher (University of Jendouba), R\matlab\gauss\C#\Java econometrics programmer, environmental economics, financial economics.
JOSS Publication
ivprobit:An R package to estimate the instrumental variables probit model
Authors
Faculty of Law, Economics and Management of Jendouba, Tunisia
Editor
Thomas J. Leeper
Tags
limited-dependent variable models Amemiya's Generalized Least Squares estimators ivprobitGitHub Events
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| Name | Commits | |
|---|---|---|
| Taha Zaghdoudi | z****a@g****m | 44 |
| Thomas J. Leeper | t****r@g****m | 1 |
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Dependencies
- Formula * imports
- methods * imports
- stats * imports