IVREG2H: Stata module to perform instrumental variables estimation using heteroskedasticity-based instruments

Christopher Baum and Mark Schaffer ()

Statistical Software Components from Boston College Department of Economics

Abstract: ivreg2h estimates an instrumental variables regression model providing the option to generate instruments using Lewbel's (J.Bus.Ec.Stat., 2012) method. This technique allows the identification of structural parameters in regression models with endogenous or mismeasured regressors in the absence of traditional identifying information, such as external instruments or repeated measurements. Identification is achieved in this context by having regressors that are uncorrelated with the product of heteroskedastic errors, which is a feature of many models where error correlations are due to an unobserved common factor. Using this form of Lewbel's method, instruments may be constructed as simple functions of the model's data. This approach may thus be applied when no external instruments are available, or, alternatively, used to supplement external instruments to improve the efficiency of the IV estimator. Supplementing external instruments can also allow Sargan-Hansen tests of the orthogonality conditions or overidentifying restrictions to be performed, which would not be available in the case of exact identification by external instruments. The companion routine ivreg2hfe can be used to estimate the model using panel data, which is then demeaned by panel unit.

Language: Stata
Requires: Stata version 9 and ivreg2, ranktest from SSC
Keywords: instrumental variables; heteroskedasticity; identification (search for similar items in EconPapers)
Date: 2012-11-17, Revised 2024-09-26
Note: This module should be installed from within Stata by typing "ssc install ivreg2h". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/i/ivreg2h.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivreg2h.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivreg2hfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivreg2hfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/u/UK12_baum.pdf documentation (application/pdf)

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