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  • xtprobit - endogeneity tests?

    Hi,

    I have a panel dataset and I am using a Probit model with random effects.

    Could you please suggest a way (if there is one) that I can test for endogeneity of a variable, and conduct tests for instrument relevance and instrument exogeneity that is compatible with xtprobit, re?

    My understanding is that ivprobit is not applicable to panel data.

    Many thanks
    Last edited by Sasha Gulabivala; 26 Feb 2017, 12:00.

  • #2
    Hi,

    Is the Heckman 2-step model a suitable alternative to IV for an xtprobit model (because I can't seem to find Stata commands for IV that work with xtprobit)?

    I would really appreciate any suggestions on how to proceed

    Thanks
    Last edited by Sasha Gulabivala; 27 Feb 2017, 06:13.

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    • #3
      If you search this list carefully, you'll find answers to your questions. You should also look at cmp or GSEM approaches to this problem.

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      • #4
        By the way, you're more likely to get a useful answer if you follow the FAQ on asking questions.

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        • #5
          Yes and thank you - I will look further into the cmp or GSEM as recommended

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