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st: testing for the validity of instruments in probit model estimatedvia ML


From   Alejandro Delafuente <alejandro.delafuente@sant.ox.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: testing for the validity of instruments in probit model estimatedvia ML
Date   Tue, 05 Aug 2008 00:57:13 +0100

Dear statalisters,

Am estimating a probit model with one continuous endogenous regressor and four 
instruments via maximum likelihood estimation (i.e. ivtobit command).

Am reporting the Wald statistic that appears at the end of the routine to test 
for exogeneity, but was wondering if this would suffice or do I need to report 
any other test statistic? 
I know that ivreg2 reports several tests. Yet, what would be an adequate test 
to report with ML estimation, if necessary? And also, what would such 
statistically significant test statistic would indicate with respect to the 
validity of the instruments used? 

Many thanks,

Alejandro

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

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