Nirina,
You might want to check whether the Newey minimum chi-squared estimator
implemented in -ivprobit- is actually what you're calling the control
function estimator. -overid- reports the overid statistic for this
estimator.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Nirina F
> Sent: 15 December 2008 21:59
> To: [email protected]
> Subject: Re: st: RE: exogeneity test for biprobit and control
> function?
>
> Thank you very much for your response.
> I actually need to use the control function not ivprobit so I was
> wondering what would be the exogeneity test after -reg-.
>
> Any idea for the -biprobit- case too?
> Nirina
>
> On Mon, Dec 15, 2008 at 4:23 PM, Schaffer, Mark E
> <[email protected]> wrote:
> > Nirina,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of Nirina F
> >> Sent: 15 December 2008 19:41
> >> To: [email protected]
> >> Subject: st: exogeneity test for biprobit and control function?
> >>
> >> Dear all,
> >>
> >> Do you know what in STATA is the exogeneity test similar
> to sargan or
> >> Hansen's j (if I used robust) with ivreg2 that can be used with
> >> biprobit and control function approach?
> >>
> >> The control function is for when I have binary dependent and
> >> continuous independent variable.
> >> Thank you,
> >
> > If you use a single-equation (limited information) framework and
> > estimation your equation using -ivprobit-, you can use -overid-
> > (downloadable from ssc-ideas in the usual way) to do a
> post-estimation
> > overidentification test.
> >
> > Hope this helps.
> >
> > Cheers,
> > Mark (-overid- coauthor)
> >
> >>
> >>
> >> Nirina
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/help.cgi?search
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity
> > registered under charity number SC000278.
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
