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Re: st: testing for the validity of instruments in probit model estimated via ML


From   Alejandro Delafuente <alejandro.delafuente@sant.ox.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for the validity of instruments in probit model estimated via ML
Date   Thu, 07 Aug 2008 15:46:24 +0100

Dear Austin,

Many thanks for the advice, I agree. Now, ivreg2 reports 3 test statistics 
(Anderson for underidentification, Crag-Donald to test weak identification and 
Sargan for overidentification of all instruments): 

Which of them would you deem appropriate to report?
And if all of them appear as statistically significant what would indicate 
with respect to the validity of the instruments used?

Also is it possible to report with Stata the Amemiya-Lee-Newey test for 
the nonlinear case.


In message <fcffff0d0808050838o47ebdf9fw6b14ba20a0dea489@mail.gmail.com> 
statalist@hsphsun2.harvard.edu writes:
> Alejandro--
> I think you would want to report the output from a linear probability
> model estimated with -ivreg2- alongside your -ivprobit- output (not
> -ivtobit- right?) to reassure readers that the instruments pass all
> the usual tests for the linear case, even if equivalent tests do not
> yet exist for nonlinear models.
> 
> On 8/4/08, Alejandro Delafuente <alejandro.delafuente@sant.ox.ac.uk> wrote:
> > 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
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-- 
Alejandro de la Fuente
Department of International Development/QEH
University of Oxford, Mansfield Road, Oxford OX1 3TB
Tel: 01865 281836

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