I am running an IVprobit with one endogenous regressor and only one instrument. Since I am calculating the marginal effects, I am not using the twostep option.

However I am aware that in order to obtain the test for weak instrument (Anderson-Rubin is the only one available for this type of model according to Finlay and Magnusson), I must use twostep.

So my questions are:

1. If the final specification that I am using is the IVprobit without the twostep option (cause I need to calculate the marginal effects), is it valid to use the results from the Anderson-Rubin weak IVprobit estimation using twostep to make conclusions about my instrument? I ask this because I noticed that the coefficients with and without the twostep option are not identical.

2. Is there any other option to test the strength of the instrument in an IVprobit for those cases when the twostep option is not used?

3. If the Anderson-Rubin test using twostep in IVprobit is significant (p-value<0.05), then I could straightforward conclude that my instrument is not weak? Or this is just to reject the null hyphotesis that the B of the endogenous regressor is not zero?

4. When using the weakIV with IVprobit twostep I also get the Wald test. Is the information provided for this test also helpful?

Thanks in advance.

However I am aware that in order to obtain the test for weak instrument (Anderson-Rubin is the only one available for this type of model according to Finlay and Magnusson), I must use twostep.

So my questions are:

1. If the final specification that I am using is the IVprobit without the twostep option (cause I need to calculate the marginal effects), is it valid to use the results from the Anderson-Rubin weak IVprobit estimation using twostep to make conclusions about my instrument? I ask this because I noticed that the coefficients with and without the twostep option are not identical.

2. Is there any other option to test the strength of the instrument in an IVprobit for those cases when the twostep option is not used?

3. If the Anderson-Rubin test using twostep in IVprobit is significant (p-value<0.05), then I could straightforward conclude that my instrument is not weak? Or this is just to reject the null hyphotesis that the B of the endogenous regressor is not zero?

4. When using the weakIV with IVprobit twostep I also get the Wald test. Is the information provided for this test also helpful?

Thanks in advance.

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