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RE: st: RE: exogeneity test for biprobit and control function?


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: exogeneity test for biprobit and control function?
Date   Mon, 15 Dec 2008 22:35:10 -0000

Nirina,

You might want to check whether the Newey minimum chi-squared estimator
implemented in -ivprobit- is actually what you're calling the control
function estimator.  -overid- reports the overid statistic for this
estimator.

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
> Sent: 15 December 2008 21:59
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: exogeneity test for biprobit and control 
> function?
> 
> Thank you very much for your response.
> I actually need to use the control function not ivprobit so I was
> wondering  what would be the  exogeneity test after -reg-.
> 
> Any idea for the -biprobit- case too?
> Nirina
> 
> On Mon, Dec 15, 2008 at 4:23 PM, Schaffer, Mark E 
> <M.E.Schaffer@hw.ac.uk> wrote:
> > Nirina,
> >
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
> >> Sent: 15 December 2008 19:41
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: exogeneity test for biprobit and control function?
> >>
> >> Dear all,
> >>
> >> Do you know what in STATA is the exogeneity  test similar 
> to sargan or
> >> Hansen's j (if I used robust) with ivreg2 that can be used with
> >> biprobit and control function approach?
> >>
> >> The control function is for when I have binary dependent and
> >> continuous independent variable.
> >> Thank you,
> >
> > If you use a single-equation (limited information) framework and
> > estimation your equation using -ivprobit-, you can use -overid-
> > (downloadable from ssc-ideas in the usual way) to do a 
> post-estimation
> > overidentification test.
> >
> > Hope this helps.
> >
> > Cheers,
> > Mark (-overid- coauthor)
> >
> >>
> >>
> >> Nirina
> >> *
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> >>
> >
> >
> > --
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> > registered under charity number SC000278.
> >
> >
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-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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