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

Author

Listed:
  • Xavier D'Haultfoeuille

    (CREST)

  • Stefan Hoderlein

    (Emory University)

  • Yuya Sasaki

    (Department of Economics, Vanderbilt University)

Programming Language

Stata

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).

Suggested Citation

  • Xavier D'Haultfoeuille & Stefan Hoderlein & Yuya Sasaki, 2021. "TESTEX: Stata module for a statistical test of the exclusion restriction of an instrumental variable (IV)," Statistical Software Components S459015, Boston College Department of Economics, revised 17 Mar 2024.
    • Handle: RePEc:boc:bocode:s459015
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/t/testex.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/testex.sthlp
    File Function: help file
    Download Restriction: no
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