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st: Interpretation of Smith-Blundell exog. test


From   "Ivar Pettersen" <ivar.pettersen@svt.ntnu.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Interpretation of Smith-Blundell exog. test
Date   Tue, 18 Apr 2006 03:52:40 +0200

Hello.

I've got a Q related to the interpretation of the Smith-Blundell test.
It is provided both by *ivprobit* and *probexog*.
The help file for probexog states "A rejection indicates that the
standard probit (tobit) estimator should not be employed."
So if rejected one should use an IV-technique. 

When the test is run it is necessary to provide some instruments. The
question is: would not a rejection also mean that the instruments you
have provided are not good enough in an IV-estimation?

Sincerely 
Ivar Pettersen

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