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st: help


From   Max <maximor@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: help
Date   Thu, 30 Nov 2006 14:58:54 -0300

Dear Statalisters,

We are estimating an -ivprobit- model and have some questions on the
methodology:

-       Is the model specified only for continuous endogenous regressors ?
In the case of a binary specification, it would be more correct to get the
predicted values after a probit specification and use it as instrument ? Or,
in the case of having a continuous specification of the endogenous
regressors,  is it more convenient to take it and  use ivprobit
straightforward ?
-       What is the difference between the predicted probability of
the -mfx- command after -ivprobit- and the mean of the predicted values
of -predict (p)- after estimation ?
-       We find contradictory results between the overid test
after -ivprobit- and the same test specifying a Linear Probability
Model -ivreg2-. Is this correct ?
-       Finally, we find important differences in terms of endogeneity
testing when using the ML and the Two-Step procedeures and can only wonder
what is the reason for that. Which estimation should we "trust" for
endogneity
testing ?
-       In the case of choosing ML are there any test of relevance and
validity of instruments available ? because overid only works after the
two-step option.

Thanks in advance,

Maximo Rossi
Department of Economics
Faculty of Social Sciences
University of Uruguay
mito@decon.edu.uy
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