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help for ^prob1nx^                         (SSC distribution ?? January 2000)
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Estimate @probit@ with one endogenous variable via instrumental variables
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 ^prob1nx^ depvar [varlist1] ^(^endog^=^varlist_iv^)^ [^if^ exp] [^in^ range]

Description
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^prob1nx^  estimates a probit model in which one explanatory variable is 
presumed endogenous via instrumental variables, as proposed by Smith and 
Blundell (1986). They demonstrate that in the case of a single auxiliary 
instrumental variables regression, the correlation between the errors in 
the probit equation and the auxiliary regression may be manipulated to avoid 
the use of the bivariate normal distribution. Their test for endogeneity 
of the specified explanatory variable (calculated by ^probexog^) is also 
generated by ^prob1nx^.

^prob1nx^ test requires specification of the suspected endogenous
variable (^endog^) as well as a list of instruments (^varlist_iv^), 
in the same format as Stata's ^ivreg^ command. The set of instruments 
is taken to be those specified plus all other explanatory variables (i.e. 
those not suspected of endogeneity, in ^varlist1^). The standard order 
condition for identification of the model applies: there must be at least 
as many instruments excluded from the model as there are suspected endogenous 
variables. 

The model is estimated by maximum likelihood. The parameter ^rho^ is the
estimated correlation between the errors of the probit and auxiliary regression
equations.

^prob1nx^ shares the features of all estimation commands, see help ^est^.

Example
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        . ^use auto^
        . ^prob1nx foreign price (mpg=displ weight)^


References
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Smith, Richard J., Blundell, Richard W., An exogeneity test for a simultaneous
	equation Tobit model with an application to labor supply. Econometrica,
	1986, 54:4, 679-686.
        
        
Acknowledgements
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We are grateful to Richard Blundell, and to Nick Cox for his ^matdelrc^
routine, a version of which is included herein. Errors remaining are our own.

Authors
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        Christopher F Baum, Boston College, USA
        baum@@bc.edu
        
        Peter Gottschalk, Boston College, USA
        gottscha@@bc.edu


Also see
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 Manual:  ^[R] probit^,  ^[R] ivreg^
On-line:  help for @probit@, @ivreg@, @probexog@ (if installed)
