Friday, January 06, 2006

Re: st: ivprobit and wald test of exogeneity

Thanks Brian, Your answer was very helpful. Tinna

On 1/5/06, Brian P. Poi <bpoi@stata.com> wrote: > On Thu, 5 Jan 2006, Tinna wrote: > > > Dear Statalisters, > > > > -ivprobit- reports results from a "wald test of exogeneity" > > > > I am unfamiliar with this test and am having a tough time finding > > information regarding it. There is no reference of it in -help > > ivprobit- and my Internet search is failing miserably. > > > > Currently I am using Durbin-Wu-Hausman for exogeneity checking, but > > cant but wonder about this mysterious test being reported by stata. > > > > Can anyone guide me toward the answer? > > > > Tinna > > > > Tinna, > > This test is mentioned along with the theory behind -ivprobit- in > Wooldridge's "Econometric Analysis of Cross Section and Panel Data" (2002, > pp. 472-477). > > For the maximum likelihood variant with a single endogenous variable, the > test is simply a Wald test that the correlation parameter rho is equal to > zero. That is, the test simply asks whether the error terms in the > structural equation and the reduced-form equation for the endogenous > variable are correlated. If there are multiple endogenous variables, then > it is a joint test of the covariances between the k reduced form > equations' errors and the structural equation's error. > > In the two-step estimator, in the second stage we include the residuals > from the first-stage OLS regression(s) as regressors. The Wald test is a > test of significance on those residuals' coefficients. > > -- Brian Poi > -- bpoi at stata.com > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ >

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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