Thanks Brian,
Your answer was very helpful.
Tinna
On 1/5/06, Brian P. Poi <[email protected]> wrote:
> On Thu, 5 Jan 2006, Tinna wrote:
>
> > Dear Statalisters,
> >
> > -ivprobit- reports results from a "wald test of exogeneity"
> >
> > I am unfamiliar with this test and am having a tough time finding
> > information regarding it. There is no reference of it in -help
> > ivprobit- and my Internet search is failing miserably.
> >
> > Currently I am using Durbin-Wu-Hausman for exogeneity checking, but
> > cant but wonder about this mysterious test being reported by stata.
> >
> > Can anyone guide me toward the answer?
> >
> > Tinna
> >
>
> Tinna,
>
> This test is mentioned along with the theory behind -ivprobit- in
> Wooldridge's "Econometric Analysis of Cross Section and Panel Data" (2002,
> pp. 472-477).
>
> For the maximum likelihood variant with a single endogenous variable, the
> test is simply a Wald test that the correlation parameter rho is equal to
> zero. That is, the test simply asks whether the error terms in the
> structural equation and the reduced-form equation for the endogenous
> variable are correlated. If there are multiple endogenous variables, then
> it is a joint test of the covariances between the k reduced form
> equations' errors and the structural equation's error.
>
> In the two-step estimator, in the second stage we include the residuals
> from the first-stage OLS regression(s) as regressors. The Wald test is a
> test of significance on those residuals' coefficients.
>
> -- Brian Poi
> -- bpoi at stata.com
>
>
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