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RE: st: Exogeneity Test for Tobit in STATA
From
Cameron McIntosh <[email protected]>
To
STATA LIST <[email protected]>
Subject
RE: st: Exogeneity Test for Tobit in STATA
Date
Wed, 11 Jan 2012 22:11:21 -0500
Tan,
Your questions seem to have largely been met by silence, but please note that statistical discussion forums are not a substitute for careful reviews of the literature. Here is some homework for you:
Murray, M.P. (2006). Avoiding Invalid Instruments and Coping with Weak Instruments. Journal of Economic Perspectives, 20(4), 111-132.http://www.eui.eu/Personal/Guiso/Courses/Econometrics/Murray_IV_jep_06.pdf
Nevo, A., & Rosen, A.M. (2010). Identification with Imperfect Instruments. The Review of Economics and Statistics, Accepted for publication.
Kolesár, M., Chetty, R., Friedman, J.N., Glaeser, E.L., & Imbens, G.W. (October 2011). Identification and Inference with Many Invalid Instruments. NBER Working Paper No. 17519. http://www.nber.org/papers/w17519
Hahn, J., & Hausman, J. (2005). Estimation with Valid and Invalid Instruments. Annales d’économie et de statistique, 79/80, 25-57.
http://economics.mit.edu/files/5611
Hahn, J., & Hausman, J. (2002). A New Specification Test for the Validity of Instrumental Variables. Econometrica, 70(1), 163-189.
Hausman, J.A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251-1271. http://time.dufe.edu.cn/wencong/jjwx/ste.pdf
Hausman, J.A. (1983). Specification and estimation of simultaneous equation models. In Z. Griliches & Intriligator, M.D. (Ed.), Handbook of Econometrics (vol I, pp. 391-448). North-Holland Publishing Company.http://pria.uran.ru/ebooks/Unsorted/07%20Hausman%20-%20Specification%20and%20Estimation%20of%20Simultaneous%20Equation%20Models.pdf
Abrevaya, J., Hausman, J.A., & Khan, S. (2010). Testing for Causal Effects in a Generalized Regression Model With Endogenous Regressors. Econometrica, 78(6), 2043–2061.
Jeong, J., & Yoon, B.H. (2010). The Effect of Pseudo-Exogenous Instrumental Variables on Hausman Test. Communications in Statistics - Simulation and Computation, 39(2), 315-321.
Baum, C.F., & Schaffer, M.E. (2003). Instrumental variables and GMM: Estimation and testing. The Stata Journal, 3(1), 1-31.http://faculty.washington.edu/ezivot/econ583/sjpdf.pdf
Baum, C.F., Schaffer, M.E., & Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal, 7(4), 465-506.http://www.stata-journal.com/sjpdf.html?articlenum=st0030_3
Nichols, A. (2007). Causal inference with observational data. The Stata Journal, 7(4), 507–541. http://www.stata-journal.com/sjpdf.html?articlenum=st0136
Poi, B.P. (2006). Jackknife instrumental variables estimation in Stata. The Stata Journal, 6(3), 364-376. http://www.stata-journal.com/sjpdf.html?articlenum=st0108
Hernán, M.A., & Robins, J.M. (2006). Instruments for causal inference: an epidemiologist's dream? Epidemiology, 17(4), 360-372.
Lee, J. (November 2010). A Consistent Nonparametric Bootstrap Test of Exogeneity. http://www.homepages.ucl.ac.uk/~uctpjil/Exogeneity%20Test.pdf
Joffe, M.M., Small, D., Ten Have, T., Brunelli, S., & Feldman, H.I. (2008). Extended Instrumental Variables Estimation for Overall Effects. The International Journal of Biostatistics, 4(1). http://www.bepress.com/ijb/vol4/iss1/4 ;
Gennetian, L. A., Magnuson, K., & Morris, P. A. (2008). From statistical associations to causation: What developmentalists can learn from instrumental variables techniques coupled with experimental data. Developmental Psychology, 44(2), 381-394.
Larcker, D. F., & Rusticus, T. O. (2010). On the use of instrumental variables in accounting research. Journal of Accounting and Economics, 49(3), 186-205.
Sovey, A.J., & Green, D.P. (2011). Instrumental Variables Estimation in Political Science: A Readers' Guide. American Journal of Political Science, 55(1), 188-200.
Didelez, V., Meng, S., & Sheehan, N.A. (2010). Assumptions of IV Methods for Observational Epidemiology. Statistical Science, 25, 22-40.http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.0595v1.pdf
White, H., & Chalak, K. (2010). Testing a Conditional Form of Exogeneity. Economics Letters, 109, 88-90.
Chalak, K., & White, H. (2011). An Extended Class of Instrumental Variables for the Estimation of Causal Effects. Canadian Journal of Economics, 44(1), 1-51. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-5982.2010.01622.x/pdf
Chmelarova, V. (2007). The Hausman test, and some alternatives, with heteroskedastic data (Ph.D. Dissertation). Lousiana State University and Agricultural and Mechanical College.http://etd.lsu.edu/docs/available/etd-01242007-165928/unrestricted/Chmelarova_dis.pdf
Mutl, J., & Pfaffermayr, M. (2011). The Hausman Test in a Cliff and Ord Panel Model. The Econometrics Journal, 14(1), 48-76. http://www.res.org.uk/econometrics/pdfs/onlineaccepted/2510_Mutl-Pfaffermayr.pdf
Holly, A. (1982). A Remark on Hausman's Specification Test. Econometrica, 50(3), 749-759.
Kraay, A. (2010). Instrumental variables regressions with uncertain exclusion restrictions: a Bayesian approach. Journal of Applied Econometrics. Online First.http://onlinelibrary.wiley.com/doi/10.1002/jae.1148/abstract
Conley, T.G., Hansen, C.B., McCulloch, R.E., & Rossi, P.E. (2008). A semi-parametric Bayesian approach to the instrumental variable problem. Journal of Econometrics, 144(1), 276-305.http://www.econ.yale.edu/seminars/ecm/ecm07/rossi-071804.pdf
Zhang, J. L. (2005). Causal Inference with Instrumental Variables. In A. Gelman & X.-L. Meng (Eds.), Applied Bayesian Modeling and Causal Inference from Incomplete-Data Perspectives: An Essential Journey with Donald Rubin's Statistical Family. Chichester, UK: Wiley.
Tan, Z. (2010). Marginal and Nested Structural Models Using Instrumental Variables. Journal of the American Statistical Association, 105(489), 157-169.http://www.stat.rutgers.edu/home/ztan/Publication/homoMarch10.pdf
Iglesias, E.M., & Phillips, G.D.A. (2010). Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances. Journal of Applied Econometrics, Early View.
Arellano, M. (2002). Sargan's Intrumental Variables Estimation and the Generalized Method of Moments. Journal of Business and Economic Statistics, 20(4), 450-459.
Cam
> Date: Wed, 11 Jan 2012 13:30:42 -0500
> Subject: st: Exogeneity Test for Tobit in STATA
> From: [email protected]
> To: [email protected]
>
> Hello Everyone,
>
> I have some questions, do you know what is different between
> exogenous, endogenous, and instrument variables? and How can I choose
> variable to be instrument variable? Thank you.
>
> Tan
>
> Do you know how to choose
>
> On Tue, Jan 10, 2012 at 2:19 PM, Pattarawan Watcharaanantapong
> <[email protected]> wrote:
> > Hello,
> >
> > Do you know how to write the command for testing exogeneity
> > for Tobit model in STATA, I have 3 dependent variables (y1,y2,y3) with
> > the same independent variables. Please let me know if you have any
> > information for me.
> >
> > Regards,
> > Tan
>
> *
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> * http://www.ats.ucla.edu/stat/stata/
*
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