Axel,
Quoting Axel Heitmueller <[email protected]>:
> 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?
I think you're right, the pseudo-residuals/DWH approach won't work.
If you think you have an endogenous regressor and you want to test for
this, then you must have in mind some alternative specification in which
the regressor is treated as endogenous and you have excluded instruments
for this regressor.
Were you thinking of estimating this alternative specification with Joe
Harkness' -ivprob-? In that case you should be able to test for
endogeneity using -hausman-. The -probit- estimation is efficient, the
-ivprob- estimation is inefficient but consisent, etc.
When it comes to -xtprobit-, the problem will be that you will again need
to be able to estimate the model treating the suspect variable as
endogenous. I'm not sure how to do this.
Hope this helps.
--Mark
> 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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