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st: RE: RE: Detect endogeneity in Probit


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Detect endogeneity in Probit
Date   Wed, 24 Sep 2008 15:45:02 +0100

On the first part:

-ivprobit- automatically reports a test of exogeneity (same thing as a
test of endogeneity).  Martin's answer also applies to the first part -
you need an instrument in order to run -ivprobit-.

If you want to test the validity (exogeneity) of your instruments, and
the equation is overidentified (#IVs > #endog regressors), use -overid-,
available from ssc-idea in the usual way.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Martin Weiss
> Sent: Wednesday, September 24, 2008 9:36 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Detect endogeneity in Probit
> 
> On the second part: find an instrument and plug it into -ivprobit-
> 
> 
> HTH
> Martin
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Filippo Pericoli
> Sent: Wednesday, September 24, 2008 10:31 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Detect endogeneity in Probit
> 
> Dear all,
> I am estimating a Probit model and I would like to know how 
> to test for endogeneity. Moreover, if I find that a regressor 
> is endogenous, how can I correct the endogeneity bias in 
> Stata (Stata 8)?
> 
> Best regards,
> Filippo Pericoli
> 
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