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st: Re: Endogeneity test for probit models


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

As you can see, ivprobit provides a test of endogeneity (the null is exogeneity) of the regressors that are instrumented. But if you have some suspect regressors and no instruments, how can you contemplate estimating an ivprobit model? You can't test for IV vs non-IV solutions without a specified IV model.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.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 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?


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