TOBITIV: Stata module to perform instrumental variables tobit
Jonah B. Gelbach
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( <endog rhs variables> ) exog( <exog. rhs variables>) iv( <ins. variables>) stage1( <first stage model>) where is the name of the dep. variable, <endog rhs variables> is the list of endogenous rhs vars, <exog. rhs variables> is the list of exog rhs vars that are included in the structural (i.e. second stage) tobit, <ins. variables> is the list of instruments for the endog rhs vars, and <first stage model> 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.
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