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From |
"Danny Cohen-Zada" <danoran@bgu.ac.il> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: obtaining correct significance level for the endogenous variable in ivprobit with a potentially weak instrument |

Date |
Mon, 10 Mar 2008 00:09:26 +0200 |

Suppose that my model is

y1= ao + a1*y2 + a2*x1 (y1 - is a dichotomous variable)

y2=b0+b1*x1+b2*z1 (excluded instrument0

(one instrument, one endogenous regresssor).

1) Am i correct that if i have a reason to think that z1 is a weak instrument (for example, based on AR test in ivreg2) i must bootsrap in order to obtain the correct standard errors of a1?

If yes, does anybody know how should i do it.

2) Suppose that i want to depict the predicted probability as a function of x1 (when all other variables are at the mean) and i want to include the ci for this probability. Am i correct that if i think that z1 may be a weak instrument, i must use the boots option in prvalue? If yes, how do i do this after an ivprobit estimation? Can i do the following:

a) obtain the predicted probablity from the first stage (manually)

b) run the second stage probit estimation

c) run the prvalue commend with the boots option.

Thanks

Danny

----- Original Message ----- From: "Austin Nichols" <austinnichols@gmail.com>

To: <statalist@hsphsun2.harvard.edu>

Sent: Thursday, February 28, 2008 2:39 PM

Subject: Re: st: Critical values for stock and yogo test when the clusteroption is used

No--hence I said:

"

You will find discussion of constructing Anderson Rubin confidence

regions in http://www.stata.com/meeting/5nasug/wiv.pdf (and its refs).

"

rather than recommending -condivreg-.

Did you try augmenting excluded instruments as I suggested? Did you

do an overID test?

All of this advice was for the linear model, before you revealed you

have a probit; for your setting you may need original simulations.

On Thu, Feb 28, 2008 at 2:56 AM, Danny Cohen-Zada <danoran@bgu.ac.il> wrote:

As you recommended me i came to conclusion that my instruments are weak.

Therefore, i used condivreg to perform the conditinal likelihood ratio test.

According to this test the pvalue is 0.000. However, this procedure doesn't

have a cluster option. Is the conditional ratio test valid (when one have to

cluster the standard errors)?

Best,

Danny

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