I would like to test whether the probit model:
Y = a0 + a1X1 + a2X2 + a3X3 + e1
has an endogeneity problem, and should instead be
treated as a system of equations, where
X3 = b0 + b1X1 + b2X2 + e2
As far as I have understood, both the Hausman IV test
and the Davidson/MacKinnon augmented regression test
only apply for OLS???
Is there any method of testing for endogeneity in
probit models???
I'd be greatful for any tips...
many thanks, Annette
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