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 don’t worry If I don’t I won’t 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
don’t 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 “first-step” regression.
Thanks
Alejandro
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