Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: ivprobit and wald test of exogeneity


From   Tinna <statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivprobit and wald test of exogeneity
Date   Fri, 6 Jan 2006 07:50:35 -0500

Thanks Brian,
Your answer was very helpful.
Tinna

On 1/5/06, Brian P. Poi <bpoi@stata.com> 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
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index