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st: RE: overid test for probit


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: overid test for probit
Date   Thu, 31 Aug 2006 21:57:52 +0100

Phil, Jun,
 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Phil Brown
> Sent: 31 August 2006 19:36
> To: statalist@hsphsun2.harvard.edu
> Subject: st: overid test for probit
> 
> Dear Jun,
> 
> I am also trying to test for overidentification after using IV probit.
> Did anyone on the message board ever respond to your 
> question?  If so, will you please share their advice?

Some time ago I hacked a copy of official ivprobit so that it would
automatically produce an overid statistic after a two-step estimation.
If you contact me off list  I can send it to you.  I haven't tested it
against published results or in a Monte Carlo simulation, so caveat
emptor!

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

> Many thanks,
> Phil Brown
> 
> -- 
> 
> Philip H. Brown
> Department of Economics
> Colby College
> 5246 Mayflower Hill
> Waterville, ME 04901
> tel. 207-859-5246
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