IV Probit Lasso

[oliver wei]

Hi guys,

I am trying to implement instrument variable in a probit variable with lasso, but unfortunately, I do not find any direct command that can apply (like xpoivregress for liner). I would greatly appreciate your sharing any insights with me on this topic.

Sincerely

[Jeff Wooldridge]

What is your setting that you think you need to apply Lasso? Do you have many control variables, many IVs, or both? How big is your sample size? Even if Y is binary, you can start with a linear analysis and see if Lasso is making a big difference.

[oliver wei]

What is your setting that you think you need to apply Lasso? Do you have many control variables, many IVs, or both? How big is your sample size? Even if Y is binary, you can start with a linear analysis and see if Lasso is making a big difference.

Thanks, Professor. You are right; if there are not many covariates and IVs, there is no need for lasso.

Yes, I will try with the linear first.