Wald exogeneity test with -ivprobit- interpretation and exporting results

[Parul Gupta]

Dear Statalisters

I am running an -ivprobit- regression and have got a p-value for the Wald exogeneity test (last line in the output) as 0.0498. I want to confirm if this means the null hypothesis of no endogeniety is rejected at 5% level, and ivprobit is appropriate to use?

Also, could someone suggest how to export the Wald result? I am using the community contributed -esttab- command to export results to LaTeX.

Thank you for your help in advance.

[Joro Kolev]

The null hypothesis is that there is no endogeneity ("Wald test of exogeneity (corr = 0):"). You are rejecting it at 5% level, so you have endogeneity and -ivprobit- is in fact needed.

-esttab- should have a way how to save selected statistics/scalars, check where -ivprobit- is saving this test by typing -ereturn list-, and then use the statistic saving facility of -esttab-.

[Parul Gupta]

Thank you for your response.

I used -estadd scalar e(p_exog)- with -esttab- to export the Wald test p value, and it worked well. Thanks for the suggestion!