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


From   "Nirina F" <fstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: exogeneity test for biprobit and control function?
Date   Wed, 17 Dec 2008 09:55:22 -0500

Hi Mark,

I mean by control function the following step instead of using ivreg2

use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta
ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6)

I use:
reg educ  age kidslt6 kidsge6
predict ghat
reg lwage exper expersq educ ghat

The reason is that instead of lwage, I have binary variable called y  so I run
probit y exper expersq educ ghat

So are we on the same line?
Thanks
nirina


On Mon, Dec 15, 2008 at 5:35 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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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