xtprobit - endogeneity tests?

[Sasha Gulabivala]

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

[Sasha Gulabivala]

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

[Phil Bromiley]

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.

[Phil Bromiley]

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

[Sasha Gulabivala]

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