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overidentification test and marginal effects after ivprobit

xueliansharon
Dear all,

I want to estimate an ivprobit model, and I also want to conduct the overidentification test and want to compute marginal effects after estimating the model.  Now the problem is if I use -overid-, I need to estimate ivprobit with "twostep" option, but if I use "twostep" estimation, mfx command can't be used to compute the marginal effects since option "predict(p)" is not available for twostep estimator of ivprobit. So what should I do to do both overidentification test and marginal effects after ivprobit?

Any help will be appreciated very much.

Sharon
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RE: overidentification test and marginal effects after ivprobit

Schaffer, Mark E
Sharon,

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of
> xueliansharon
> Sent: 21 July 2010 02:08
> To: [hidden email]
> Subject: st: overidentification test and marginal effects
> after ivprobit
>
> Dear all,
>
> I want to estimate an ivprobit model, and I also want to
> conduct the overidentification test and want to compute
> marginal effects after estimating the model.  Now the problem
> is if I use -overid-, I need to estimate ivprobit with
> "twostep" option, but if I use "twostep" estimation, mfx
> command can't be used to compute the marginal effects since
> option "predict(p)" is not available for twostep estimator of
> ivprobit. So what should I do to do both overidentification
> test and marginal effects after ivprobit?

If memory serves, the overid test result for the two-step estimator
carries over to the ML estimator because they use the same exclusion
restrictions.  (You might want to double check this though - don't rely
on my memory!)  If so, you can just use the two-step overid test
statistic as your overidentification test for your ML estimation.

--Mark

> Any help will be appreciated very much.
>
> Sharon
> --
> View this message in context:
> http://statalist.1588530.n2.nabble.com/overidentification-test
> -and-marginal-effects-after-ivprobit-tp5319208p5319208.html
> Sent from the Statalist mailing list archive at Nabble.com.
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
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RE: overidentification test and marginal effects after ivprobit

xueliansharon
Hi, Mark,

Thanks for your response. But I don't understand what " the two-step overid test
statistic" is, could you please illustrate it more explicitly?

Many thanks,
Sharon
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AW: RE: overidentification test and marginal effects after ivprobit

Martin Weiss-5

<>

Sharon, the FAQ do recommend that you edit the text you are replying to
(http://www.stata.com/support/faqs/res/statalist.html#others), but to
totally delete it makes it very difficult to put your contribution in
perspective. Maybe quote the core of what you are replying to above your own
text?



HTH
Martin


-----Urspr√ľngliche Nachricht-----
Von: [hidden email]
[mailto:[hidden email]] Im Auftrag von xueliansharon
Gesendet: Donnerstag, 22. Juli 2010 04:47
An: [hidden email]
Betreff: st: RE: overidentification test and marginal effects after ivprobit

Hi, Mark,

Thanks for your response. But I don't understand what " the two-step overid
test
statistic" is, could you please illustrate it more explicitly?

Many thanks,
Sharon
--
View this message in context:
http://statalist.1588530.n2.nabble.com/overidentification-test-and-marginal-
effects-after-ivprobit-tp5319208p5323802.html
Sent from the Statalist mailing list archive at Nabble.com.
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
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RE: AW: RE: overidentification test and marginal effects after ivprobit

Schaffer, Mark E
Sharon,

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of
> Martin Weiss
> Sent: 22 July 2010 08:08
> To: [hidden email]
> Subject: st: AW: RE: overidentification test and marginal
> effects after ivprobit
>
>
> <>
>
> Sharon, the FAQ do recommend that you edit the text you are
> replying to
> (http://www.stata.com/support/faqs/res/statalist.html#others),
>  but to totally delete it makes it very difficult to put your
> contribution in perspective. Maybe quote the core of what you
> are replying to above your own text?
>
>
>
> HTH
> Martin

Martin is right (as usual).  To speed things up, here is the original exchange plus a comment:

> -----Original Message-----
> From: Schaffer, Mark E
> Sent: 21 July 2010 18:49
> To: '[hidden email]'
> Subject: RE: overidentification test and marginal effects
> after ivprobit
>
> Sharon,
>
> > -----Original Message-----
> > From: [hidden email]
> > [mailto:[hidden email]] On Behalf Of
> > xueliansharon
> > Sent: 21 July 2010 02:08
> > To: [hidden email]
> > Subject: st: overidentification test and marginal effects after
> > ivprobit
> >
> > Dear all,
> >
> > I want to estimate an ivprobit model, and I also want to
> conduct the
> > overidentification test and want to compute marginal effects after
> > estimating the model.  Now the problem is if I use
> -overid-, I need to
> > estimate ivprobit with "twostep" option, but if I use "twostep"
> > estimation, mfx command can't be used to compute the
> marginal effects
> > since option "predict(p)" is not available for twostep estimator of
> > ivprobit. So what should I do to do both overidentification
> test and
> > marginal effects after ivprobit?
>
> If memory serves, the overid test result for the two-step
> estimator carries over to the ML estimator because they use
> the same exclusion restrictions.  (You might want to double
> check this though - don't rely on my memory!)  If so, you can
> just use the two-step overid test statistic as your
> overidentification test for your ML estimation.
>
> --Mark
>
> > Any help will be appreciated very much.
> >
> > Sharon

And now the answer to Sharon's question is easier to understand: when I said "the overid test result for the two-step estimator", I meant simply the test statistic that overid reports after ivprobit with the twostep option.

--Mark

>
>
> -----Urspr√ľngliche Nachricht-----
> Von: [hidden email]
> [mailto:[hidden email]] Im Auftrag von
> xueliansharon
> Gesendet: Donnerstag, 22. Juli 2010 04:47
> An: [hidden email]
> Betreff: st: RE: overidentification test and marginal effects
> after ivprobit
>
> Hi, Mark,
>
> Thanks for your response. But I don't understand what " the
> two-step overid test statistic" is, could you please
> illustrate it more explicitly?
>
> Many thanks,
> Sharon
> --
> View this message in context:
> http://statalist.1588530.n2.nabble.com/overidentification-test
-and-marginal-

> effects-after-ivprobit-tp5319208p5323802.html
> Sent from the Statalist mailing list archive at Nabble.com.
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
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RE: AW: RE: overidentification test and marginal effects after ivprobit

xueliansharon
Hi, Martin and Mark,

Thanks for all your help! And sorry for the inconvenience I caused. I will be more careful about quoting next time.

Best,
Sharon
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