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st: RE: question about ivprob
Not that it matters except to me, but I have never posted
questions about -ivprob- and I would never
misspell Stata like this. I may be quoted
here because I tried to help somebody who did.
> Hello, I have two questions about the ivprob program. A
> previous question posted by Nick Cox wrote:
> with the following two equations:
> Eq2) A2 = A1 + A3 + A6 + A7
> Eq1) A1 = A2 + A3 + A4 + A5
> Variable A1 is dichotomous and A2 is continuous:
> Some of A3-A7 are dichotomous and some of A3-A7 are continuous.
> I have run the following STATA command to implement the
> IVPROB procedure: ivprob A1, endog(A2) iv(A6 A7)exog(A3 A4 A5).
> I have a very similar equation for which I am attempting to
> control for an endogenous variable. My questions are:
> 1. A3 is used in both equations, and is exogenous to both.
> However based on this example, A3 is not identified any
> differently from the other exogenous variables such as A4 and
> A5 (which only enter equation 1). I would like to know if
> this is the correct way of specifying variables under this
> specific model. Based on the code above, it’s not clear to me
> how the distinction between A3 (which appears in both
> equations) vs. A4 and A5 (which only appear in equation 1) is made.
> 2. I am also searching for ways to test existence of
> endogenous variables with a second-stage limited dependent
> variable model and first-stage continuous variable model. Can
> the standard Hausman test be used in this case to test for
> endogeneity or does it need to be modified in some way? If
> modification is necessary, do you have suggestions for
> references on how to modify the test or does code exist to
> run this test?
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