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TOBITIV: Stata module to perform instrumental variables tobit

Author

Listed:
  • Jonah B. Gelbach

    () (University of Maryland at College Park)

Abstract

This module implements the method of Whitney Newey, 'Efficient Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables', Journal of Econometrics (1987). The standard errors are not correct, since I didn't account for the fact that the RHS endog variables (and the residuals from the equations predicting them are predicted and therefore have some sampling variance/covariance with the other explanatory variables. However, the point estimates will be consistent. The syntax is as follows: tobitiv , endog( ) exog( ) iv( ) stage1( ) where is the name of the dep. variable, is the list of endogenous rhs vars, is the list of exog rhs vars that are included in the structural (i.e. second stage) tobit, is the list of instruments for the endog rhs vars, and is either 'probit', 'linear', or empty. If empty or 'linear', the first stage equations are run as OLS. If probit, they are (all) run as probits. The programs uses the same instruments for all first stage equations. To use different instruments for multiple endog rhs vars, you would need to generalize the code.

Suggested Citation

  • Jonah B. Gelbach, 1999. "TOBITIV: Stata module to perform instrumental variables tobit," Statistical Software Components S371402, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s371402
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tobitiv.ado
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    Citations

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    Cited by:

    1. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
    2. María Cuenca Coral, Felipe Amaya, Bryan Castrillón, 2015. "La política monetaria y el crecimiento económico en Colombia, 1990-2010," REVISTA CIFE, UNIVERSIDAD SANTO TOMÁS, February.
    3. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
    4. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 30(68), pages 14-71, June.
    5. Pavel Vidal & Gilberto Ramírez & Lya Paola Sierra, 2018. "¿Por qué el Valle del Cauca ha crecido más que el promedio nacional? Un análisis regional de los ciclos y los choques económicos," Working Papers 33, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
    6. Franz Hamann & Juan Manuel Julio & Paulina Restrepo & Alvaro Jose Riascos Villegas, 2004. "Inflation Targeting In A Small Open Economy: The Colombian Case," BORRADORES DE ECONOMIA 002855, BANCO DE LA REPÚBLICA.
    7. Luiz De Mello & Diego Moccero, 2009. "Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1671-1690, December.
    8. Franz Hamann Salcedo & Juan Manuel Julio & Paulina Restrepo, 2004. "Inflation Targeting in a Samll Open Economy: The Colombian Case," Borradores de Economia 308, Banco de la Republica de Colombia.

    More about this item

    Keywords

    tobit; instrumental variables;

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