IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s401102.html
 

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

Author

Listed:
  • 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).

Suggested Citation

  • Christopher F Baum, 1999. "PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit," Statistical Software Components S401102, Boston College Department of Economics, revised 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/probexog.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/p/probexog.hlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/t/tobexog.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/t/tobexog.hlp
    File Function: help file
    Download Restriction: no

    More about this item

    Keywords

    instrumental variables; exogeneity; probit; tobit;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s401102. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/debocus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.