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Re: st: ivprobit

From   "Austin Nichols" <[email protected]>
To   [email protected]
Subject   Re: st: ivprobit
Date   Wed, 21 May 2008 11:28:05 -0400

Prashanth Mahagaonkar <[email protected]>:
Use -ivreg2- with the -first- option to run a linear probability model
and report that output together with your MLE -ivprobit-.  There is no
paper describing the equivalent tests for probit models, to my
knowledge, but the quality of the instruments is about first-stage
results (from a linear model) not the second stage.

On Wed, May 21, 2008 at 11:13 AM, Prashanth Mahagaonkar
<[email protected]> wrote:
> hi
> I need to perform Anderson-Rubin Wald test of weak instruments,
> Kleibergen-Paap test of underidentification, Stock-Yogo weak ID test after
> using IVPROBIT. I understand that the two-step method (based on the minimum
> chi2 distribution) allows for one such test, but I prefer using the simple
> ivprobit (which follows a MLE method). can anybody help me regarding this?
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