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.
References: Add references at CitEc
Citations:

Downloads: (external link)
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)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459015

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().