st: Test for endogeneity in probit regressions

[Axel Heitmueller <Axel.Heitmueller@dwp.gsi.gov.uk>]

Hi there,

I suspect that I've an endogenous variable in a probit regression. In principal I could use a Durbin-Wu-Hausman test yet in the probit one naturally has only pseudo residuals and I'm not sure whether it works. Is there any alternative test for probit models? Also, ultimately I would like to use the xtprobit pa model and would need to test endogeneity in there as well.

Would be thankful for any ideas/recommendations

Many thanks

Axel

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