Advice on using heteroscedasticity based identification

Christopher Baum and Arthur Lewbel

No 975, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Lewbel (2012) provides a heteroscedasticity 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 Stata module ivreg2h by Baum and Schaffer (2012). This note gives some advice and instructions to researchers who want to use this estimator.

Keywords: instrumental variables; linear regression; endogeneity; identification; heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C13 C26 C87 (search for similar items in EconPapers)
Date: 2018-02-12, Revised 2019-06-17
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (72)

Published, Stata Journal, 2019, 19:4, 757-767

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Related works:
Journal Article: Advice on using heteroskedasticity-based identification (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:975

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