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
endogeneity:
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
(http://www.stata.com/statalist/archive/2006-04/msg00574.html) 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.
Sergio
-------------------------------------------------
This mail sent through IMP: http://horde.org/imp/
*
* 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/
