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st: overidentification test


From   "feldman" <feldman@primal.ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: overidentification test
Date   Wed, 30 Aug 2006 14:52:06 -0700

This is a repost of a message sent last week. I am hoping
that if I rephrase my question I will get a positive answer,
but donít worry If I donít I wonít repost it again. 

I am interested in doing an overidentification test for a
tobit with instrumental variables. I have one endogenous
variable and three excluded instruments. If I were using
ivreg (ivreg2) I could use the command overid to do what I
want but I have a lot of zeros in my left hand side variable
and prefer to use tobit. 

I have searched the statalist archives (and google) and I
donít think there is a code that can do what I want
automatically for tobit.  My question is, do any of you have
any suggestions on how to test for the validity of
instruments using tobit? I already did an informal test of
the relevance of the instruments by testing their
significance in a ďfirst-stepĒ regression. 

Thanks
Alejandro


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