st: RE: IV analysis with binary and censored dependent variable

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Asif,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Asif R. Anik
> Sent: 06 March 2011 04:30
> To: statalist@hsphsun2.harvard.edu
> Subject: st: IV analysis with binary and censored dependent variable
> 
> Dear Stata users,
> Due to endogeneity problem, I am trying to do  instrumental 
> variable analyses. I am trying to fit two different models,  
> where my dependent variables are binary and censored in 
> nature. Hence I  am trying for a ivprobit and ivtobit analyses. 
> The problem is how to do  tests like Sargan, 
> Durbin-Wu-Hausman etc. ivendog or overid command do  not work 
> after ivprobit or ivtobit commands.

Actually, that's not true:

overid from http://fmwww.bc.edu/RePEc/bocode/o
    'OVERID': module to calculate tests of overidentifying restrictions
after ivreg, ivreg2, ivreg29, ivprobit, ivtobit, reg3

--Mark

> One way might be to  
> generate necessary test statistics with ivreg2 command. But 
> does it make any scence?
> 
> Does the Durbin-Wu-Hausman test necessary after  ivprobit or 
> ivtobit analyses?  
> So far I know, this test tells whether OLS  is consistent or 
> not. Does it applicable after limited dependent  variable 
> specification also?
> 
> Thanking in advance and looking for your valuable  comments.
> 
> Regards
> 
> Anik
> 
> 
> 
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