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Re: st: IV Probit

From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: IV Probit
Date   Thu, 15 Mar 2012 12:18:29 -0400

Robert Davidson <[email protected]>:
The theory of the diagnostics is not developed for -ivprobit- or any
other nonlinear model,
but you can certainly report the diagnostics for the linear probability model
that corresponds using -ivreg2-. Since weak instruments are a property
of the first stage, this is as much as any reviewer is likely to want.
Overidentification tests are also possible via -gmm-.

On Thu, Mar 15, 2012 at 11:19 AM, Robert Davidson <[email protected]> wrote:
> Hello,
> I am trying to estimate an ivprobit model in Stata 11.2.
> I would like to estimate an F-statistic to assess weak instruments and
> perform other tests to assess the potential endogeneity of the
> instrument. None of the commands available with ivreg seem to work. I
> have looked at the help for ivprobit and the post estimation commands
> and cannot find these things. I imagine these calculations are basic,
> but I have not used ivprobit before and cannot find guidance online.
> I am estimating a standard ivprobit though the standard errors are
> clustered by groups.
> Thank you,
> Rob
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