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st: AW: Explanation of endogenous binary IV using "biprobit"

From   "Martin Weiss" <>
To   <>
Subject   st: AW: Explanation of endogenous binary IV using "biprobit"
Date   Mon, 3 Aug 2009 17:55:22 +0200


This sounds more like a problem for -ivprobit-, though. Be sure to check it
out before you carry on with -biprobit-...


-----Ursprüngliche Nachricht-----
[] Im Auftrag von Sun, Yan
Gesendet: Montag, 3. August 2009 17:45
Betreff: st: Explanation of endogenous binary IV using "biprobit"


I have the following equations
Y1=Y2 X1 X2 X3 (1)
Y2=X1 X4 X5    (2)

Where Y1 is binary dependent variable and Y2 is binary endogenous
variable, Xs are exogenous variables.

When I run Probit model of equation (1), Y2 is positive significant; but
when I run equations (1) and (2) together using biprobit, Y2 is not
significant at all (in the 2nd stage), under the wald test of rho: chi2
is very small (with prob very big), which implying rho is not
significant and equation (1) and equation (2) is not correlated,
although X4 and X5 are significant. What does it mean? Does it mean that
Y2 is not endogenous variable and I could use probit model for equation
(1)? Does it also mean that Y2 has a significant impact for Y1?

Thank you very much.


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