MLR2SLS: Stata module for 2SLS estimation with multiple-LATEs robust standard error under treatment effect heterogeneity

Seojeong Lee and Dandan Yu

Statistical Software Components from Boston College Department of Economics

Abstract: mlr2sls calculates the standard error for over-identified 2SLS. Under treatment effect heterogeneity an instrument identifies the instrument-specific local average treatment effect (LATE). When multiple instruments are used together for estimation, the 2SLS estimand is a weighted average of the LATEs and this makes the underlying moment condition be misspecified. As a result the conventional heteroskedasticity-robust standard error is biased. mlr2sls provides a standard error which corrects for this bias and is consistent. It is also robust to heteroskedasticity and clustering is allowed. See Lee, Journal of Business and Economic Statistics, 2017.

Language: Stata
Requires: Stata version 11 and ivreg2, ranktest from SSC (q.v.)
Keywords: instrumental variables; treatment effect heterogeneity; local average treatment effect; 2SLS; robust standard errors (search for similar items in EconPapers)
Date: 2018-05-19, Revised 2018-09-15
Note: This module should be installed from within Stata by typing "ssc install mlr2sls". 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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