English, Article edition: PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit Christopher F Baum

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  • code
Language
  • English

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Title
  • PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/​tobit
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • 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).
  • instrumental variables, exogeneity, probit, tobit
  • RePEc:boc:bocode:s401102
Language
  • English
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