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st: How to do iv test after ivprobit


From   "Zhu, Liye" <lzhu@mail.smu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How to do iv test after ivprobit
Date   Wed, 12 Jul 2006 13:53:51 -0500

Does anybody know how to do the endogeneity test and iv validity test (orthogonality and relevance tests) after -ivprobit-? 

 

For the endogeneity test, I tried -hausman- after -ivprobit-, but got the results saying "V_b-V_B is not positive definite". So how can I improve it? Is there any Durbin or Wu flavor of hausman test (similar in ivreg2)? The last line in the result of -ivprobit- is  the result for Wald test of exogeneity. I think this is same as the Durbin-Wu-Hausman test. Correct me if I am wrong. As said by bpoi at stata.com "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." 

However, in order for this Wald test to be meaningful, we need valid instruments. The relevance test can be directly seen from the first state regression in -ivprobit- results. But how to do the orthogonality (overidentification) test after -ivprobit-? I know -ivreg2- in Stata 8 can do the Hansen's J and C test, how about -ivprobit-?

Thanks a lot!

 

Liye

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