Hi Axel,
-probexog- is another option. It computes a test of exogeneity for probit
regressions proposed by Smith and Blundell:
Smith, Richard J., Blundell, Richard W., An exogeneity test for a
simultaneous
equation Tobit model with an application to labor supply.
Econometrica,
1986, 54:4, 679-686.
Regarding the augmented regression test approach: I haven't really looked
into this, but there is a paper by Bollen, Guilkey and Mroz, "Binary
outcomes and endogenous explanatory variables: tests and solutions with an
application to the demand for contraceptive use in Tunisia". Demography Feb
1995 32(1): 111-131. In this paper they did something like the augmented
regression test approach. They also cite a paper by Rivers and Vuong,
"Limited information estimators and exogeneity tests for simultaneous probit
models". Journal of Econometrics 1988 39: 347-366. Like I said, I haven't
really looked into either of these papers, but they might be helpful for
your work.
Cheers,
Alex
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Axel Heitmueller
Sent: Tuesday, July 06, 2004 8:47 AM
To: statalist
Subject: st: Test for endogeneity in probit regressions
Hi there,
I suspect that I've an endogenous variable in a probit regression. In
principal I could use a Durbin-Wu-Hausman test yet in the probit one
naturally has only pseudo residuals and I'm not sure whether it works. Is
there any alternative test for probit models? Also, ultimately I would like
to use the xtprobit pa model and would need to test endogeneity in there as
well.
Would be thankful for any ideas/recommendations
Many thanks
Axel
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