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st: Probit with endogenous binary regressors - testing validity of instruments


From   "Urban, Dieter" <durban@uni-mainz.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Probit with endogenous binary regressors - testing validity of instruments
Date   Wed, 12 Apr 2006 14:26:57 +0200

I have the following estimation problem: I am estimating a probit of y1
on y2 x1 with instrumental variables z, where y2 is one endogenous
variable, x1 is of dimension K, and z is of dimension L, L>1. I apply a
maximum likelihood optimization as described in
Wooldridge (2002), p. 477f.

I undertake a Rivers-Vuong endogeneity test as described in Wooldridge
(2002), p. 474.

Question: does there exist a test on overidentifying restrictions that
tests the validity of instruments in this case? Or does anybody know
whether the ivreg2 command together with overid is applicable for probit
estimation with binary endogenous variables, too?

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