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Re: st: Treatreg with probit

From   Guy Grossman <>
Subject   Re: st: Treatreg with probit
Date   Tue, 5 Jul 2011 18:07:25 -0400

John -

I have also found quite useful the working paper by Chiburis, Das, and
Lokshin (2010) "A Practical Comparison of the Bivariate Probit and
Linear IV Estimators"

In addition, if you follow the link the authors provide wrapper for
biprobit (biprobtreat command which allows calculating ATT and ATE).


On Tue, Jul 5, 2011 at 5:42 PM, Austin Nichols <> wrote:
> 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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