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Re: st: re: test linear hypothesis for probit

From   Maarten buis <>
Subject   Re: st: re: test linear hypothesis for probit
Date   Wed, 10 Feb 2010 18:11:07 +0000 (GMT)

--- On Wed, 10/2/10, Sun, Yan (IFPRI) wrote:
> I would like to do linear hypothesis for Probit. I know how
> to do it for OLS. For example, for the equation y=a+b*x1+c*x2,
> I would use STATA command: "test (b=0) (c=0)", or "test b=c".
> But now y is a bivariate dummy and I would use probit. How
> could I use STATA command to do a joint F test? I find there
> is "test" command after probit. Is this "test" command after
> probit a correct command for a linear hypothese test for
> probit? 

-test- is fine after -probit-, it will give you the Wald test.
An alternative is the likelihood ratio test, which has some 
nice characteristics, but cannot be used when you specified 
the -robust-, -cluster()- options or used pweights. Below is 
an example showing how to do both.

*------------ begin example ---------------
sysuse auto, clear
probit foreign rep78 price mpg

test (rep78 = 0) (price = 0)

est store a

probit foreign mpg if !missing(rep78,price)
est store b
lrtest a b
*----------- end example -------------------
( For more on how to use examples I sent to statalist see: )

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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