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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 > >> >> * > >> >> * For searches and help try: > >> >> * http://www.stata.com/help.cgi?search > >> >> * http://www.stata.com/support/statalist/faq > >> >> * http://www.ats.ucla.edu/stat/stata/ > >> >> > >> > > >> > > >> > -- > >> > Heriot-Watt University is a Scottish charity > >> > registered under charity number SC000278. > >> > > >> > > >> > * > >> > * For searches and help try: > >> > * http://www.stata.com/help.cgi?search > >> > * http://www.stata.com/support/statalist/faq > >> > * http://www.ats.ucla.edu/stat/stata/ > >> > > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > >> > > > > > > -- > > Heriot-Watt University is a Scottish charity > > registered under charity number SC000278. > > > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: exogeneity test for biprobit and control function?***From:*"Nirina F" <fstata@gmail.com>

**References**:**st: exogeneity test for biprobit and control function?***From:*"Nirina F" <fstata@gmail.com>

**st: RE: exogeneity test for biprobit and control function?***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: exogeneity test for biprobit and control function?***From:*"Nirina F" <fstata@gmail.com>

**RE: st: RE: exogeneity test for biprobit and control function?***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: exogeneity test for biprobit and control function?***From:*"Nirina F" <fstata@gmail.com>

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