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st: Probit with Endogenous Ordinal Regressors


From   Zara Li <zara.25@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Probit with Endogenous Ordinal Regressors
Date   Thu, 28 Mar 2013 19:17:55 -0700 (PDT)

Hi Statalist users! 

I am trying to run a Probit model which has two endogenous ordinal
independent variables (they take a value of 0, 1, 2, 3 or 4). Since
-ivprobit- cannot be used for discrete endogenous independent variables
(both under MLE or two-step), how can I run an instrumental variable
regression in this case, and carry out the usual tests for the validity of
my instruments post-estimation? My regression is not overidentified, so
-overid- is not what I want to use. Of course, I could run the first-stage
regressions using -oprobit- for my two endogenous variables, and -probit- in
the second stage, but then what would be the best way to test (and show) the
validity of my instruments? 

Thank you very much!



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