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Re: st: Is there a way of testing for endogeneity in probit models (to rule out simultaneous equations)?


From   Lisa Powell <powelll@qed.econ.queensu.ca>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Is there a way of testing for endogeneity in probit models (to rule out simultaneous equations)?
Date   Fri, 23 Aug 2002 15:31:33 -0400 (EDT)

Annette,

If Y is binary and X3 is linear, you can use the Blundell-Smith exogeneity
test as given in the probexog.ado file (this test can be specified after
the ivprob and divprob ado files).

L.

> I would like to test whether the probit model:
> 
> Y = a0 + a1X1 + a2X2 + a3X3 + e1
> 
> has an endogeneity problem, and should instead be
> treated as a system of equations, where
> 
> X3 = b0 + b1X1 + b2X2 + e2
> 
> As far as I have understood, both the Hausman IV test
> and the Davidson/MacKinnon augmented regression test
> only apply for OLS???
> 
> Is there any method of testing for endogeneity in
> probit models???
> 
> I'd be greatful for any tips... 
> many thanks, Annette 
> 
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Lisa M. Powell					<powelll@qed.econ.queensu.ca>
School of Policy Studies, 				     Tel 613-545-6692 
Queen's University, 					     Fax 613-545-2135
Kingston, Ontario, 
K7L 3N6, Canada 

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