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st: Endogeneity test for probit models

Subject   st: Endogeneity test for probit models
Date   Fri, 08 May 2009 17:08:20 +0200

Hi Statalisters,

I have several doubts about Hausman and Smith-Blundell test for exogeneity 
(probexog).  I?m estimating  a Probit model  and I  suspect that one of the
explanatory variables is not exogenous. Then, don?t know  how can I do test for
1.	Is Hausman Test an appropriate test for endogeneity in probit regressions,
how can I perform It to compare two probit specifications? I?ve seen some
examples of Hausman test but  always comparing  probit  vs  others estimation
methods (i.e. IVprobit)

2.	I try to run Smith-Blundell test, but reading some  threads
( and  stata
commands probexog , I can see that some  instruments are  required for it,  and
I don?t have any variable for this purpose.

3.	I need at least to conclude that suspect variable is endogenous, and there is
not data at hand to estimate IVprobit,  but can I do this if I can´t perform
Smith-Blundell test? 

Thanks for your help.

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