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st: LM (score) test for omitted variable after probit


From   Jamie Banurji <jamie.banurji@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: LM (score) test for omitted variable after probit
Date   Thu, 4 Apr 2013 22:43:25 +0100

Dear Statalist,

I am trying to run an LM (score) test for an omitted relevant variable
after running a probit using the probit command with STATA 12 IC.

My first question is does anyone know if there is a user-written
command out there which will do this? Looking through the archive, I
can see there used to be a command called -testomit- written by Jeroen
Weesie which did this but using -ssc install testomit- and -findit
testomit- doesn't yield any results. I found a webpage which said this
command was no longer available in STATA.

My second question is would this be the right way of going about doing
the LM test for an omitted variable "manually" in STATA after a probit
in the absence of such a command:

gen constant=1
probit y x1 x2 x3
predict genres, score
gen gen1=genres*x1
gen gen2=genres*x2
gen gen3=genres*x3

*Here i am calling x4 the omitted variable to be tested*
gen gen4=genres*x4

reg cons genres gen1 gen2 gen3 gen4, nocons
di "chi2(1)=" e(N)*e(r2)
di "prob>chi2 = " chi2tail(1,e(N)*e(r2))

Many Thanks for your help,

Jamie
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