Probit with Endogenous Ordinal Regressors

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Probit with Endogenous Ordinal Regressors

Zara Li
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Hi Statalist users!

I am trying to run a Probit model which has two endogenous ordinal independent variables (they take a value of 0, 1, 2, 3 or 4). Since -ivprobit- cannot be used for discrete endogenous independent variables (both under MLE or two-step), how can I run an instrumental variable regression in this case, and carry out the usual tests for the validity of my instruments post-estimation? My regression is not overidentified, so -overid- is not what I want to use. Of course, I could run the first-stage regressions using -oprobit- for my two endogenous variables, and -probit- in the second stage, but then what would be the best way to test (and show) the validity of my instruments?

Thank you very much!