TOBITIV: Stata module to perform instrumental variables tobit

Jonah B. Gelbach ()
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Jonah B. Gelbach: University of Maryland at College Park

Statistical Software Components from Boston College Department of Economics

Abstract: This module implements the method of Whitney Newey, 'Efficient Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables', Journal of Econometrics (1987). The standard errors are not correct, since I didn't account for the fact that the RHS endog variables (and the residuals from the equations predicting them are predicted and therefore have some sampling variance/covariance with the other explanatory variables. However, the point estimates will be consistent. The syntax is as follows: tobitiv , endog( ) exog( ) iv( ) stage1( ) where is the name of the dep. variable, is the list of endogenous rhs vars, is the list of exog rhs vars that are included in the structural (i.e. second stage) tobit, is the list of instruments for the endog rhs vars, and is either 'probit', 'linear', or empty. If empty or 'linear', the first stage equations are run as OLS. If probit, they are (all) run as probits. The programs uses the same instruments for all first stage equations. To use different instruments for multiple endog rhs vars, you would need to generalize the code.

Language: Stata
Keywords: tobit; instrumental variables (search for similar items in EconPapers)
Date: 1999-03-10

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http://fmwww.bc.edu/repec/bocode/t/tobitiv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hyphens.ado program code (text/plain)

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