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

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

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).

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File URL: http://fmwww.bc.edu/repec/bocode/p/probexog.ado
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File URL: http://fmwww.bc.edu/repec/bocode/p/probexog.hlp
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File URL: http://fmwww.bc.edu/repec/bocode/t/tobexog.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/t/tobexog.hlp
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S401102.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 23 Dec 1999
Date of revision: 19 May 2007
Handle: RePEc:boc:bocode:s401102

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.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
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Web: http://repec.org/docs/ssc.php

Related research

Keywords: instrumental variables; exogeneity; probit; tobit;

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