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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   Wed, 17 Dec 2008 17:25:29 -0000

Nirina,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
> Sent: Wednesday, December 17, 2008 2:55 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: exogeneity test for biprobit and control 
> function?
> 
> 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

The best thing to do is to check the Stata manual entry for -ivprobit-
with the -twostep- option.  This is Newey's minimum-chi-sq estimator.
If memory serves, it can be interpreted as a "control function
estimator" in the sense you are using it.

Cheers,
Mark

> 
> 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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> >> >>
> >> >
> >> >
> >> > --
> >> > Heriot-Watt University is a Scottish charity
> >> > 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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> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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