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st: RE: ivreg2 post-estimation tests


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivreg2 post-estimation tests
Date   Fri, 25 May 2012 16:40:13 +0100

Gordon,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Abekah Nkrumah
> Sent: 25 May 2012 14:22
> To: statalist@hsphsun2.harvard.edu
> Subject: st: ivreg2 post-estimation tests
> 
> Dear All,
> 
> I am running ivprobit with factor variables (eg. i.var_name). 
> However, since the post estimation overid command does not 
> support factor variables, it means I will not be able to 
> conduct my overidentification test.

Why don't you create your factor variables by hand and then use
-ivprobit-?  That is, first generate the factor variables so that they
are standard Stata variables, and then run your IV probit.  Then you can
use the overidentification test for IV probit provided by -overid-.

--Mark

> Thinking through this, I 
> have decided to run a linear probability model using ivreg2 
> since that support factor variables and therefore will be 
> able to have the test results for overidentification test.
> 
> Now considering that the linear probability model is not that 
> different from the probit model, will the test results for  
> (i) overidentification, (ii) underidentification (iii) F test 
> for the joint significance of the instruments (iv) Stock Yogo 
> calculations, be valid for my ivprobit estimation?
> 
> I will appreciate some help on this. Thank you very much
> 
> Regards
> 
> Gordon
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