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st: re:how to do the overindetification test in -ivprobit with -mle- option?


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re:how to do the overindetification test in -ivprobit with -mle- option?
Date   Mon, 28 Dec 2009 06:59:59 -0500

<>
Rose wrote
I am estimate a probit model where one or more of the regressors are endogenously determined.
What is the siginificant difference between -twostep- and -mle- in -ivprobit- ?
If I use the -mle- option, how to do the overindetification test?


For an understanding of the econometric methodology behind the twostep and mle techniques, please see the manual description at [R] ivprobit.

You cannot use the -overid- test (Baum-Schaffer-Stillman from ssc) after the mle option. It only works after the -twostep- option.

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


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