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st: Endogeneity in Bivariate Probit


From   mmolina@uniroma3.it
To   statalist@hsphsun2.harvard.edu
Subject   st: Endogeneity in Bivariate Probit
Date   Sun, 9 Aug 2009 01:51:20 +0200 (CEST)

Dear Statalist,
I found on the Statist archive that Knapp and Seaks argue that a
likelihood-ratio test of the correlation coefficient of the residuals
(rho) can be used as an endogeneity test.
On the other hand I read that if "the second dependent variable, y2,
appears on the right-hand side of the first equation, this is a recursive,
simultaneous-equations model. Surprisingly, the endogenous nature of one
of the variables on the right-hand side of the first equation can be
ignored in formulating the log-likelihood" (Greene, 2002, pp.715).
I run my model for three countries and only in one case I obtained these
results:

Likelihood-ratio test of rho = 0 :      chi2(1) = 2,1962                 
Prob > chi(2) = 0,1383

Should I consider that y2 variable have passed the endogeneity test?
Thanks in advance and regards,
Alejandra Molina

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