Dear Statalist users,
I wonder if there is any way to compute an overidentification test after
using the "mvprobit" command.
I have a system of 3 equations, where the dependent variables are
binary (0 or 1); moreover, 2 dependent variables enter as covariates in
the third equation. In other words:
X1=delta1+lambda1*Z1+epsilon1
X1=delta2+lambda2*Z2+epsilon2
Y=alpha+beta1*X1+beta2*X2+epsilon2
The system of equations is estimated using the command "mvprobit".
The variables Z1 and Z2 are used to as instruments to identify the
model. Since Z1 and Z2 contain more than one variable, i would like to
perform an overidentification test.
Any suggestion on how to do it in this case?
Best
Daniela
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