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st: RE: testing endogeneity in a two-equation model with censored andbinary dependent variables.


From   Ricardo Henriquez <rhenriquez@sii.cl>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: testing endogeneity in a two-equation model with censored andbinary dependent variables.
Date   Mon, 30 Jun 2003 16:48:54 -0400

Dear Statalist readers,

I am estimating the following two-equation model using a two-stage procedure
suggested by Maddala (1983):

Y1 = a1X1 + B1Y2 + e1

Y2*= a2X2 + e2

where Y2=1 if Y2*>0
	Y2=0 otherwise

Y1 is censored at zero and Y2 is binary (the realised value of the latent
variable
Y2*). Since Y2 is assumed to be endogenous, I would like to test the
endogeneity of Y2. I checked the Durbin-Wu-Hausman test but it is not
appropriate when one of the dependent variable is binary. Thus, does anyone
know if there is an alternative way to test for endogeniety in such a
models. Any help will be much appreciated.


Ricardo Henríquez
Chile

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