Multivariate probit (mvprobit) with binary endogenous explanatory variable (EEV)

[Abdallah Alidu]

Dear Stata Community,

I am to estimate M-equation probit models using the 'mvprobit' command in Stata. But the problem is that one of my explanatory variables is binary and potentially endogenous. Kindly, is there a way to control for endogeneity in such multi system of equation? I have been reading Woodbridge's (2015) Control function methods in applied econometrics. But I am still not sure if the control function approach is also applicable in my case. I would be glad for your help, please.

Alidu Abdallah

[Hong Il Yoo]

It sounds like you can consider David Roodman's -cmp- package.

[Abdallah Alidu]

Dear Hong

Please how do I execute mvprobit with binary endogenous explanatory variable using the cmp command? I checked but cannot see how to go about it.

[Abdallah Alidu]

Dear Hong,

Please how do I execute mvprobit with binary endogenous explanatory variable using the cmp command? I checked but cannot see how to go about it.