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st: RE: question about ivprob

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: question about ivprob
Date   Thu, 5 May 2005 18:56:17 +0100

Not that it matters except to me, but I have never posted
questions about -ivprob- and I would never 
misspell Stata like this. I may be quoted 
here because I tried to help somebody who did. 

[email protected] 

> Hello, I have two questions about the ivprob program. A 
> previous question posted by Nick Cox wrote: 
> with the following two equations: 
> Eq2) A2 = A1 + A3 + A6 + A7 
> Eq1) A1 = A2 + A3 + A4 + A5 
> Variable A1 is dichotomous and A2 is continuous: 
> Some of A3-A7 are dichotomous and some of A3-A7 are continuous. 
> I have run the following STATA command to implement the 
> IVPROB procedure: ivprob A1, endog(A2) iv(A6 A7)exog(A3 A4 A5). 
> I have a very similar equation for which I am attempting to 
> control for an endogenous variable. My questions are: 
> 1. A3 is used in both equations, and is exogenous to both. 
> However based on this example, A3 is not identified any 
> differently from the other exogenous variables such as A4 and 
> A5 (which only enter equation 1). I would like to know if 
> this is the correct way of specifying variables under this 
> specific model. Based on the code above, it’s not clear to me 
> how the distinction between A3 (which appears in both 
> equations) vs. A4 and A5 (which only appear in equation 1) is made. 
> 2. I am also searching for ways to test existence of 
> endogenous variables with a second-stage limited dependent 
> variable model and first-stage continuous variable model. Can 
> the standard Hausman test be used in this case to test for 
> endogeneity or does it need to be modified in some way? If 
> modification is necessary, do you have suggestions for 
> references on how to modify the test or does code exist to 
> run this test? 

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