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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: Endogeneity test for probit models |

Date |
Sat, 9 May 2009 07:02:48 -0400 |

<> webuse auto,clear probit foreign price mpg, nolog ivprobit foreign price (mpg = weight displacement gear_ratio), nolog

Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html

An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On May 9, 2009, at 02:33 , Sergio wrote:

I have several doubts about Hausman and Smith-Blundell test forexogeneity(probexog). I?m estimating a Probit model and I suspect that oneof theexplanatory variables is not exogenous. Then, don?t know how can Ido test forendogeneity:1. Is Hausman Test an appropriate test for endogeneity in probitregressions,how can I perform It to compare two probit specifications? I?ve seensomeexamples of Hausman test but always comparing probit vs othersestimationmethods (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) andstatacommands probexog , I can see that some instruments are requiredfor it, andI don?t have any variable for this purpose.3. I need at least to conclude that suspect variable is endogenous,and there isnot data at hand to estimate IVprobit, but can I do this if I can´tperformSmith-Blundell test?

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**Follow-Ups**:**st: Re: Postestimation procedures multiple datasets***From:*Jessica Schumacher <jrschumacher@wisc.edu>

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