PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: probexog (tobexog) computes a test of exogeneity for a probit (tobit) model proposed by Smith and Blundell (1986). The test involves specifying that the exogeneity of one or more explanatory variables is under suspicion. Under the null hypothesis, the models are appropriately specified with all explanatory variables as exogenous. Under the alternative hypothesis, the suspected endogenous variables are expressed as linear projections of a set of instruments, and the residuals from those first-stage regressions are added to the model. Under the null hypothesis, these residuals should have no explanatory power. This test is related to an auxiliary regression test for exogeneity in a regression context (see ivendog), which in turn is a convenient alternative to the commonly employed Hausman test (hausman).

Language: Stata
Requires: Stata version 6.0
Keywords: instrumental variables; exogeneity; probit; tobit (search for similar items in EconPapers)
Date: 1999-12-23, Revised 2007-05-19
Note: This module may be installed from within Stata by typing "ssc install probexog-tobexog". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/probexog.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/probexog.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tobexog.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tobexog.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s401102

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