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st: IV analysis with binary and censored dependent variable
From
"Asif R. Anik" <[email protected]>
To
[email protected]
Subject
st: IV analysis with binary and censored dependent variable
Date
Sat, 5 Mar 2011 20:30:05 -0800 (PST)
Dear Stata users,
Due to endogeneity problem, I am trying to do instrumental variable analyses. I
am trying to fit two different models, where my dependent variables are binary
and censored in nature. Hence I am trying for a ivprobit and ivtobit analyses.
The problem is how to do tests like Sargan, Durbin–Wu–Hausman etc. ivendog or
overid command do not work after ivprobit or ivtobit commands. One way might be
to generate necessary test statistics with ivreg2 command. But does it make
any scence?
Does the Durbin–Wu–Hausman test necessary after ivprobit or ivtobit analyses?
So far I know, this test tells whether OLS is consistent or not. Does it
applicable after limited dependent variable specification also?
Thanking in advance and looking for your valuable comments.
Regards
Anik
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