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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: IV Probit |

Date |
Thu, 15 Mar 2012 14:22:52 -0400 |

Robert Davidson <rhd773@gmail.com>: I think you should still report the -ivreg2- estimates and diagnostics. In particular, *you should not use -ivprobit- for this case* --look at this from the -ivprobit- help file: "Both estimators assume that the endogenous regressors are continuous and are not appropriate for use with discrete endogenous regressors." See also http://www.stata.com/meeting/chicago11/materials/chi11_nichols.pdf On Thu, Mar 15, 2012 at 12:46 PM, Robert Davidson <rhd773@gmail.com> wrote: > Thank you for your response. My endogenous regressor is also binary, > so even the first stage model is binary in nature. Does this > basically mean that I cannot produce much in the way of diagnostics > other than to simply show that the instrument is highly correlated > with the endogenous regressor and weakly correlated with the error > term in the original model for which the instrument is to be used? > > > On Thu, Mar 15, 2012 at 12:18 PM, Austin Nichols > <austinnichols@gmail.com> wrote: >> Robert Davidson <rhd773@gmail.com>: >> The theory of the diagnostics is not developed for -ivprobit- or any >> other nonlinear model, >> but you can certainly report the diagnostics for the linear probability model >> that corresponds using -ivreg2-. Since weak instruments are a property >> of the first stage, this is as much as any reviewer is likely to want. >> Overidentification tests are also possible via -gmm-. >> >> On Thu, Mar 15, 2012 at 11:19 AM, Robert Davidson <rhd773@gmail.com> wrote: >>> Hello, >>> I am trying to estimate an ivprobit model in Stata 11.2. >>> I would like to estimate an F-statistic to assess weak instruments and >>> perform other tests to assess the potential endogeneity of the >>> instrument. None of the commands available with ivreg seem to work. I >>> have looked at the help for ivprobit and the post estimation commands >>> and cannot find these things. I imagine these calculations are basic, >>> but I have not used ivprobit before and cannot find guidance online. >>> I am estimating a standard ivprobit though the standard errors are >>> clustered by groups. >>> Thank you, >>> Rob * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: IV Probit***From:*Robert Davidson <rhd773@gmail.com>

**References**:**st: IV Probit***From:*Robert Davidson <rhd773@gmail.com>

**Re: st: IV Probit***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: IV Probit***From:*Robert Davidson <rhd773@gmail.com>

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