Biprobit postestimation

[Israel Escudero]

Hello everyone. I am estimating a biprobit with an instrument variable in the second equation due to the more than possible endogeneity of my independent variable of interest. I would like to check the validity of my instruments. I know that, for example, with the ivregress 2sls command you can use the estat firstage post-estimation. My question is, is there any way to check for this after using the biprobit command?
Thanks in advance

[Mustafa Coban]

Hi Israel,

currently there is no way to test validity of instrumentes in a non-linear model like probit.

Since you want to fit a recursive bivariate probit model, I would recommend to switch to the rbiprobit package; available on SSC by

ssc install rbiprobit

This package accounts for recursive nature of your model, gives correct predictions and enables the estimation of various treatment effects. Here, a short example for the estmation of the average treatment effect

rbiprobit y1 = x1 x2 x3, endog(y2 = x1 x2 x4 x5)
rbiprobit tmeffects, tmeffect(ate)

For more background:

Check out the repo of the package on GitHub and the current presentation slides from the Italian Stata Conference.

I know it's quite common to use ivreg2 and to neglect the fact that the outcome variable is binary and not continuous. But still, I would recommend to use rbiprobit for estimation and to check the strength of your IV using ivreg2.