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Re: st: IV Probit

From   Robert Davidson <[email protected]>
To   [email protected]
Subject   Re: st: IV Probit
Date   Thu, 15 Mar 2012 12:46:18 -0400

Thank you for your response.  My endogenous regressor is also binary,
so even the first stage model is binary in nature.  Does this
basically mean that I cannot produce much in the way of diagnostics
other than to simply show that the instrument is highly correlated
with the endogenous regressor and weakly correlated with the error
term in the original model for which the instrument is to be used?

On Thu, Mar 15, 2012 at 12:18 PM, Austin Nichols
<[email protected]> wrote:
> 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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