In addition to Mark's suggestion: -probexog- (from SSC) computes a test of exogeneity for a probit model proposed by Smith and Blundell (1986). The test involves specifying that the exogeneity of one or more explanatory variables is under suspicion.
Nicola
P.S. I'll NOT receive/read any email but the Digest.
At 02.33 25/09/2008 -0400, Filippo Pericoli wrote:
>Dear all,
>I am estimating a Probit model and I would like to know how to test for endogeneity. Moreover, if I find that a regressor is endogenous, how can I correct the endogeneity bias in Stata (Stata 8)?
>
>Best regards,
>Filippo Pericoli
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