Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: interpretation of Wald test of exogeneity in ivprobit


From   Alejandro Delafuente <[email protected]>
To   [email protected]
Subject   st: interpretation of Wald test of exogeneity in ivprobit
Date   Tue, 19 Dec 2006 17:00:57 +0000

Hello statalisters, I am running some maximum likelihood probits with one 
endogenous regressor (ivprobit). Stata reports the result of a Wald test of 
exogeneity at the bottom and I want to make sure that am giving the right 
interpretation: a rejection of the null hypothesis of exogeneity (rho=0) would 
mean that the error terms in the structural equation (probit) and the reduced-
form equation  for the endogenous variable (instrumented regression) are 
correlated and therefore instrumenting the endogenous variable was the 
APPROPIATE DECISION. Or does it mean that even after instrumenting the 
endogeneity problem persists in my model?
Any help would be appreciated.
Alejandro




-- 
Alejandro de la Fuente
Department of International Development/QEH
University of Oxford, Mansfield Road, Oxford OX1 3TB
Tel: 01865 281836

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index