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st: IV analysis with binary and censored dependent variable


From   "Asif R. Anik" <[email protected]>
To   [email protected]
Subject   st: IV analysis with binary and censored dependent variable
Date   Sat, 5 Mar 2011 20:30:05 -0800 (PST)

Dear Stata users,
Due to endogeneity problem, I am trying to do  instrumental variable analyses. I 
am trying to fit two different models,  where my dependent variables are binary 
and censored in nature. Hence I  am trying for a ivprobit and ivtobit analyses. 
The problem is how to do  tests like Sargan, Durbin–Wu–Hausman etc. ivendog or 
overid command do  not work after ivprobit or ivtobit commands. One way might be 
to  generate necessary test statistics with ivreg2 command. But does it make  
any scence?

Does the Durbin–Wu–Hausman test necessary after  ivprobit or ivtobit analyses?  
So far I know, this test tells whether OLS  is consistent or not. Does it 
applicable after limited dependent  variable specification also?

Thanking in advance and looking for your valuable  comments.

Regards

Anik



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