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Re: st: ivprobit and wald test of exogeneity
On Thu, 5 Jan 2006, Tinna wrote:
-ivprobit- reports results from a "wald test of exogeneity"
I am unfamiliar with this test and am having a tough time finding
information regarding it. There is no reference of it in -help
ivprobit- and my Internet search is failing miserably.
Currently I am using Durbin-Wu-Hausman for exogeneity checking, but
cant but wonder about this mysterious test being reported by stata.
Can anyone guide me toward the answer?
This test is mentioned along with the theory behind -ivprobit- in
Wooldridge's "Econometric Analysis of Cross Section and Panel Data" (2002,
For the maximum likelihood variant with a single endogenous variable, the
test is simply a Wald test that the correlation parameter rho is equal to
zero. That is, the test simply asks whether the error terms in the
structural equation and the reduced-form equation for the endogenous
variable are correlated. If there are multiple endogenous variables, then
it is a joint test of the covariances between the k reduced form
equations' errors and the structural equation's error.
In the two-step estimator, in the second stage we include the residuals
from the first-stage OLS regression(s) as regressors. The Wald test is a
test of significance on those residuals' coefficients.
-- Brian Poi
-- bpoi at stata.com
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