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st: Simultaneous Equations Models/Inverse Mills
I have a couple of questions that are troubling me. Any comments
appreciated, I'm an undergraduate student at UNSW in Australia.
1. I was wondering if is a way to test endogeneity in the following
Y1= a0 + a1Y1 + a3X2 + e1
Y2 = a0 + a2Y2 + a4X2 +e1
I have two specifications
a. Y1 and Y2 are binary (probit)
b. Y1 is continuous, Y2 is binary
I know there is the Hausman test but this only applies to OLS I believe. Is
there anything else out there?
2. I want to estimate a Cragg model, but I want to do it manually rather
than through the heckman procedure because I need the inverse mills ratio
for another equation.
Is there any way to compute and save the "inverse mills ratio" from a probit
equation in Stata?
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