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Re: st: Treatreg with probit

From   Austin Nichols <>
Subject   Re: st: Treatreg with probit
Date   Tue, 5 Jul 2011 17:42:28 -0400

John Antonakis <>:
You have a binary outcome and a single binary endogenous variable?
With excluded instruments?
This is sometimes called the triangular simultaneous equation model,
and -biprobit- handles it, as does -cmp-.
Do not manually include a hazard estimate in a second stage probit!

N.B. Heckman-type models with some missing outcomes are essentially
equivalent to treatment-effect-type models;
compare methods and formulas in e.g. [R] treatreg and [R] heckman,
esp. for two-step estimators--
one augments the regression with the first-stage hazard (generalized
residual) in either case.

On Tue, Jul 5, 2011 at 5:18 PM, John Antonakis <> wrote:
> Hi:
> Yip; I know of -cmp- and have recommended it in the past to others. It does
> do Heckman-type tobit models (with censoring on y), though it doesn't seem
> to me that it can do treatment effect-type models (where y is observed in
> the treated and non-treated group)--or did I misread the help file?
> Best,
> J.
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