st: RE: overidentification test and marginal effects after ivprobit

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Sharon,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> xueliansharon
> Sent: 21 July 2010 02:08
> To: statalist@hsphsun2.harvard.edu
> Subject: st: overidentification test and marginal effects 
> after ivprobit
> 
> Dear all,
> 
> I want to estimate an ivprobit model, and I also want to 
> conduct the overidentification test and want to compute 
> marginal effects after estimating the model.  Now the problem 
> is if I use -overid-, I need to estimate ivprobit with 
> "twostep" option, but if I use "twostep" estimation, mfx 
> command can't be used to compute the marginal effects since 
> option "predict(p)" is not available for twostep estimator of 
> ivprobit. So what should I do to do both overidentification 
> test and marginal effects after ivprobit?

If memory serves, the overid test result for the two-step estimator
carries over to the ML estimator because they use the same exclusion
restrictions.  (You might want to double check this though - don't rely
on my memory!)  If so, you can just use the two-step overid test
statistic as your overidentification test for your ML estimation.

--Mark

> Any help will be appreciated very much.
> 
> Sharon
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