ENH "heckprobit" model and bivariate normal including cdf

[AI-Friend]

Do you support the "heckprobit"(probit with sample selection) model?
Stata supports this model. Does statsmodels supporst this model?

Looking forward to your reply, thank you very much!

[josef-pkt]

Unfortunately statsmodels doesn't. statsmodels is pretty weak in traditional econometrics with endogenous regressors. The linearmodels package has more support for linear IV, statsmodels has only GMM that can be used for endogenous regressors.

[josef-pkt]

converting this to an enhancement request

We don't have a good bivariate normal distribution. scipy has now also multivariate normal, but I'm not sure how fast and accurate the cdf is in the bivariate case.
We have an old version of bivariate normal distribution class in sandbox.distributions, but that's not ready for use.
The cdf uses double quad, instead we could use a single quad and the univariate cdf for the conditional distribution, which I guess would be more accurate.