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TESTEX: Stata module for a statistical test of the exclusion restriction of an instrumental variable (IV)

Xavier D'Haultfoeuille, Stefan Hoderlein and Yuya Sasaki

Statistical Software Components from Boston College Department of Economics

Abstract: This program executes a statistical test of the exclusion restriction of an instrumental variable (IV) based on D'Haultfoeuille, Hoderlein, & Sasaki (J. Econometrics, 2021). The command takes as input a scalar outcome variable y, a scalar endogenous variable x that is continuous, and a scalar instrumental variable z. If the instrument is not binary, then the program transforms the original instrument into a binary one. The output of the command includes the p-value of the test and the indicators of whether the test rejects the null hypothesis at various levels of statistical significance. The program gives a caution when there is no crossing of conditional CDFs required by Assumption 5 in D'Haultfoeuille, Hoderlein, & Sasaki (2021).

Language: Stata
Requires: Stata version 14.2
Keywords: instrumental variables; exclusion restriction; control function (search for similar items in EconPapers)
Date: 2021-11-14, Revised 2024-03-17
Note: This module should be installed from within Stata by typing "ssc install testex". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/t/testex.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/testex.sthlp help file (text/plain)

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