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

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

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". 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.
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    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
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    Cited by:

    1. D'Antoni, Jeremy M. & Mishra, Ashok K. & Joo, Hyunjeong, 2012. "Welfare Implications of a Reduction in Government Payments: The Role of Fringe Benefits," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124766, Agricultural and Applied Economics Association.
    2. Chintawar, Sachin & Mishra, Ashok K. & Gillespie, Jeffrey M., 2009. "The Impact of Adoption of Genetically Modified Corn on the Off-Farm Labor Supply in the United States," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46832, Southern Agricultural Economics Association.
    3. Zikhali, Precious, 2008. "Tenure Security and Investments: Micro-evidence from Zimbabwe’s Fast Track Land Reform Programme," Working Papers in Economics 321, University of Gothenburg, Department of Economics.
    4. Christopher Ruebeck, 2004. "Model Exit in a Vertically Differentiated Market: Interfirm Competition versus Intrafirm Cannibalization in the Computer Hard Disk Drive Industry," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 26(1), pages 27-59, November.

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