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
<[email protected]> wrote:
> Nirina,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Nirina F
>> Sent: Wednesday, December 17, 2008 2:55 PM
>> To: [email protected]
>> 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
>> <[email protected]> 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: [email protected]
>> >> [mailto:[email protected]] On Behalf Of Nirina F
>> >> Sent: 15 December 2008 21:59
>> >> To: [email protected]
>> >> 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
>> >> <[email protected]> wrote:
>> >> > Nirina,
>> >> >
>> >> >> -----Original Message-----
>> >> >> From: [email protected]
>> >> >> [mailto:[email protected]] On Behalf
>> Of Nirina F
>> >> >> Sent: 15 December 2008 19:41
>> >> >> To: [email protected]
>> >> >> 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/
>
*
* 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/
