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Advice on using heteroskedasticity-based identification

Christopher Baum () and Arthur Lewbel ()

Stata Journal, 2019, vol. 19, issue 4, 757-767

Abstract: Lewbel (2012, Journal of Business and Economic Statistics 30: 67–80) provides a heteroskedasticity-based estimator for linear regression models containing an endogenous regressor when no external instruments or other such information is available. The estimator is implemented in the command ivreg2h by Baum and Schaffer (2012, Statistical Software Components S457555, Department of Economics, Boston College). In this article, we give advice and instructions to researchers who want to use this estimator.

Keywords: ivreg2h; instrumental variables; linear regression; endogeneity; identification; heteroskedasticity (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1177/1536867X19893614

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Handle: RePEc:tsj:stataj:v:19:y:2019:i:4:p:757-767