Instrumental variables estimation using heteroskedasticity-based instruments

Christopher Baum, Arthur Lewbel, Mark Schaffer () and Oleksandr Talavera ()

German Stata Users' Group Meetings 2013 from Stata Users Group

Abstract: In a 2012 article in the Journal of Business and Economic Statistics, Arthur Lewbel presented the theory of allowing the identification and estimation of "mismeasured and endogenous regressor models" by exploiting heteroskedasticity. These models include linear regression models customarily estimated with instrumental variables (IV) or IV-GMM techniques. Lewbel's method, under suitable conditions, can provide instruments where no conventional instruments are available or augment standard instruments to enable tests of overidentification in the context of an exactly identified model. In this talk, I discuss the rationale for Lewbel's methodology and illustrate its implementation in a variant of Baum, Schaffer, and Stillman' sivreg2 routine, ivreg2h.

Date: 2013-07-03
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Citations: View citations in EconPapers (21)

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http://fmwww.bc.edu/RePEc/dsug2013/baum_DESUG2013.pdf (application/pdf)

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Working Paper: Instrumental variables estimation using heteroskedasticity-based instruments (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:dsug13:05

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