Nirina,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Nirina F
> Sent: Wednesday, December 17, 2008 2:55 PM
> To: [email protected]
> Subject: Re: st: RE: exogeneity test for biprobit and control
> function?
>
> Hi Mark,
>
> I mean by control function the following step instead of using ivreg2
>
> use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta
> ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6)
>
> I use:
> reg educ age kidslt6 kidsge6
> predict ghat
> reg lwage exper expersq educ ghat
>
> The reason is that instead of lwage, I have binary variable
> called y so I run
> probit y exper expersq educ ghat
>
> So are we on the same line?
> Thanks
> nirina
The best thing to do is to check the Stata manual entry for -ivprobit-
with the -twostep- option. This is Newey's minimum-chi-sq estimator.
If memory serves, it can be interpreted as a "control function
estimator" in the sense you are using it.
Cheers,
Mark
>
> On Mon, Dec 15, 2008 at 5:35 PM, Schaffer, Mark E
> <[email protected]> wrote:
> > 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/
> >
> *
> * 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/
