Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: Exogeneity Test for Tobit in STATA

From   Cameron McIntosh <>
Subject   RE: st: Exogeneity Test for Tobit in STATA
Date   Wed, 11 Jan 2012 22:11:21 -0500


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.

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.

Hahn, J., & Hausman, J. (2005). Estimation with Valid and Invalid Instruments. Annales d’économie et de statistique, 79/80, 25-57.

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.

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.

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.

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.

Nichols, A. (2007). Causal inference with observational data. The Stata Journal, 7(4), 507–541.

Poi, B.P. (2006). Jackknife instrumental variables estimation in Stata. The Stata Journal, 6(3), 364-376.

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.

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). ;
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.

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.

Chmelarova, V. (2007). The Hausman test, and some alternatives, with heteroskedastic data (Ph.D. Dissertation).  Lousiana State University and Agricultural and Mechanical College.

Mutl, J., & Pfaffermayr, M. (2011). The Hausman Test in a Cliff and Ord Panel Model. The Econometrics Journal, 14(1), 48-76.

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.

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.

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.

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.


> Date: Wed, 11 Jan 2012 13:30:42 -0500
> Subject: st: Exogeneity Test for Tobit in STATA
> From:
> To:
> 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
> <> 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
> *
> *   For searches and help try:
> *
> *
> *
*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index