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st: RE: ivprobit and post-estimation


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   st: RE: ivprobit and post-estimation
Date   Tue, 10 Nov 2009 17:49:40 -0000

Cullen,

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Cullen Hendrix
> Sent: 10 November 2009 16:41
> To: [email protected]
> Subject: st: ivprobit and post-estimation
> 
> I am using the ivprobit command and wondering whether there 
> are packages for implementing the Durbin-Wu-Watson, Hansen, 
> or Sargan test of the endogeneity of regressors, and if not, 
> whether someone can suggest a work-around. All of these tests 
> are easily implemented with the 2sls command, but I am having 
> trouble finding them for the ivprobit.

-overid-, available from ssc-ideas in the usual way, provides an overidentification test after -ivprobit- (and -ivtobit-, and some other commands as well).

-findit ivprobit- lists -overid- in the results.  -findit- is your friend!

Cheers,
Mark

> It's my sense that I 
> should be able to run the same tests for the ivprobit because 
> the linear index is similar and error term is presumed to 
> have the same distribution in both models. Any thoughts?
> 
> Thanks, in advance, for your help/advice.
> 
> Best,
> Cullen
> 
> --
> Cullen Hendrix, Ph.D.
> Assistant Professor
> Department of Political Science
> University of North Texas
> http://cshendrix.wordpress.com/
> 
> "The machine does not isolate humanity from the great 
> problems of nature, but plunges it more deeply into them."
> Saint-Exupéry, Wind, Sand, and Stars
> 
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