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Re: st: binary endogenous var

From   "Jonathan Beck" <[email protected]>
To   [email protected]
Subject   Re: st: binary endogenous var
Date   Fri, 29 Oct 2004 10:11:11 +0200 (CEST)


I have no experience with ivprob, but although designed for continuous
regressors maybe you can use it at least to test for exogeneity of a
binary regressor (see Wooldridge, 2002, sections 15.7.2f).

You can account for the endogeneity explicitly by estimating a bivariate
probit model using biprobit (see Wooldridge and Greene, 2003, ch. 21).
Fabbri et al. (2004) argue that this procedure also provides an
appropriate test of exogeneity.

Hope this helps.


Fabbri, Daniele, Chiara Monfardini, and Rosalba Radice, 2004, Testing
exogeneity in the bivariate probit model: Monte Carlo evidence and an
application to health economics, mimeo.
Greene, William H., 2003, Econometric analysis (Prentice Hall: Upper
Saddle River, NJ).
Wooldridge, Jeffrey M., 2002, Econometric Analysis of Cross Section and
Panel Data (MIT Press: Cambridge, MA)).
Social Science Research Center Berlin (WZB)
Unit MP, CiC
Reichpietschufer 50
D-10785 Berlin
Phone: +49-30-25491-436
Fax: +49-30-25491-444

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