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From |
"Mark Schaffer" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: testing endogeneity in a two-equation model with censored and binary dependent variables. |

Date |
Wed, 9 Jul 2003 14:29:05 +0100 |

Ricardo, > Dear Statalist readers, > > I am estimating the following two-equation model using a two-stage procedure > suggested by Maddala (1983): > > Y1 = a1X1 + B1Y2 + e1 > > Y2*= a2X2 + e2 > > where Y2=1 if Y2*>0 > Y2=0 otherwise > > Y1 is censored at zero and Y2 is binary (the realised value of the latent > variable > Y2*). Since Y2 is assumed to be endogenous, I would like to test the > endogeneity of Y2. I checked the Durbin-Wu-Hausman test but it is not > appropriate when one of the dependent variable is binary. This last statement confuses me. The standard DWH test of endogeneity is used when estimating a single equation using instrumental variables. The endogeneity relates to one or more regressors in this single equation. These regressors can be binary - it doesn't matter for either the IV estimation or the DWH test. If I understand correctly, you can't use the DWH test for a different reason - Y1 is censored and you can't us straightforward IV to estimate the Y1 equation. Would the following work? 1. Estimate the Y1 equation using Joe Harkness' -ivtobit-, i.e., treat Y2 as endogenous. This is your efficient but possibly inconsistent estimator. 2. Estimate the Y1 equation using -tobit-, i.e., treat Y2 as exogenous. This is your inefficient but consistent estimator. 3. Use -hausman- to perform a Hausman test. It should be distributed as chi-squared with 1 degree of freedom (because you are testing 1 variable for endogeneity). The output of -hausman- may suggest that there are 2 degrees of freedom (because -hausman- tries to be clever in working out the df and occasionally doesn't get it right), but df=1. Comments, anybody? --Mark > Thus, does anyone > know if there is an alternative way to test for endogeniety in such a > models. > > Any help will be much appreciated. > > > Ricardo Henrï¿½quez > Chile > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ Prof. Mark E. Schaffer Director Centre for Economic Reform and Transformation Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS UK 44-131-451-3494 direct 44-131-451-3008 fax 44-131-451-3485 CERT administrator http://www.som.hw.ac.uk/cert * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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