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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 16:35:14 -0500

Thanks Mark,
Ok, I will check.
I noticed that I just wrote predict ghat.
It should be predict ghat, resid

Nirina

On Wed, Dec 17, 2008 at 12:25 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: 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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>> >> >>
>> >> >
>> >> >
>> >> > --
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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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>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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