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st: RE: help


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: help
Date   Thu, 30 Nov 2006 18:36:16 -0000

Maximo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Maximo Rossi
> Sent: 30 November 2006 19:01
> To: statalist@hsphsun2.harvard.edu
> Subject: st: help
> 
> 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 ?

Could be.  They are different models.  The LPM is heteroskedastic as
well.  But the easiest thing to do is to install the latest version of
-overid-, because it supports an overidentification test for -ivprobit-
with the -twostep- option.

HTH.

Cheers,
Mark

> -       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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