Hi,
I am running an ivprobit model and have encountered an issue with the margin command in computing the average marginal effects. I have specified the model as:

ivprobit DV X1 X2 ........Xn (IV= Z1 Z2 Z3)

where,

DV is my binary choice dependent (endogenous) variable; X1 - Xn are my exogenous variables (continuous or binary); IV is my instrumented (endogenous) variable (continuous) and Z1, Z2, Z3 are my additional instruments (continuous).

The model runs in Stata without problems and gives reasonable results and a Wald test of exogeneity of chi2(1) = 10.12 Prob > chi2 = 0.0015 confirming existance of endogeneity.

When I run the margins command (margins, dydx (*) predict (pr) ) to obtain the average marginal effects, the results give reasonable average marginal effects for all exogenous variables (as expected). However, the results also give statistically significant average marginal effects for instrumental variables Z1, Z2, Z3. I find these latter results odd because I expected the instrumental variables to not appear in the marginal effects results.

By looking at the example of marginal effects computation after ivprobit (Example 1 on Page 3 of Stata's " ivprobit postestimation — Postestimation tools for ivprobit" document), I noticed that the instrumental variable (male_educ) shows an average marginal effect of dy/dx = 0 (with an omitted Delta-method Std. Err.). Further, in explaining the marginal effects results, the document mentions that " male_educ has no effect because it appears only as an instrument."

Considering the above, I am confused as to 1) why the instrumental variables in my model (Z1, Z2, Z3) are not omitted from the average marginal effects results table and 2) why they exhibit statistically significant marginal effects.

Wouldn't this mean that instruments Z1, Z2, Z3 are correlated with DV and therefore, not valid? That is also confusing because in testing the validity of instruments, I ran the model with the "twostep" option followed by the "overid" command as follows:

ivprobit DV X1 X2 ........Xn (IV= Z1 Z2 Z3), twostep
overid, depvar( DV )

The results gave: Amemiya-Lee-Newey minimum chi-sq statistic 0.241 Chi-sq(1) P-value = 0.8866

As seen, the P value is not significant for the Amemiya-Lee-Newey test which, as I understand, means that instruments are valid (null hypothesis for the "Amemiya-Lee-Newey" test is that instruments are valid, correct?)

Please help me understand what I am doing wrong and why I get statistically significant marginal effects for my instrumental variables.

Thank you in advance.