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


From   Annette Jaeckle <annette_jaeckle@yahoo.com>
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   Mon, 26 Aug 2002 02:52:37 -0700 (PDT)

Many thanks Lisa for your help!!
Annette


--- Lisa Powell <powelll@qed.econ.queensu.ca> wrote:
> 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 
> 
> *
> *   For searches and help try:
> *  
> http://www.stata.com/support/faqs/res/findit.html
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*
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