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st: Penalized/shrinkage estimators for probi

From   Charles Vellutini <>
To   "''" <>
Subject   st: Penalized/shrinkage estimators for probi
Date   Fri, 12 Aug 2011 01:03:16 -0700

Hi all,

I need to estimate a probit model starting with a very large number of candidate explanatory variables -this is essentially a data mining, a-theoretical context. I therefore need a robust approach to variable selection. 

I am aware of the plogit package, which implements penalized estimators for the logistic model (including lasso), but I did not find similar estimators for the probit model. Is anyone aware of one?

Failing that, what about using the plogit package to do the variable selection bit and then run a regular probit on the selected model?


Charles Vellutini

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