Advice on using heteroskedasticity-based identification

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...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Stata journal 2019-12, Vol.19 (4), p.757-767
Hauptverfasser: Baum, Christopher F., Lewbel, Arthur
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1536-867X
1536-8734
DOI:10.1177/1536867X19893614