A robust instrumental-variables estimator
AbstractThe classical instrumental-variables estimator is extremely sensitive to the presence of outliers in the sample. This is a concern because outliers can strongly distort the estimated effect of a given regressor on the dependent variable. Although outlier diagnostics exist, they frequently fail to detect atypical observations because they are themselves based on nonrobust (to outliers) estimators. Furthermore, they do not take into account the combined influence of outliers in the first and second stages of the instrumental-variables estimator. In this article, we present a robust instrumental-variables estimator, initially proposed by Cohen Freue, Ortiz-Molina, and Zamar (2011, Working paper: http://www.stat.ubc.ca/˜ruben/website/cv/cohen-zamar.pdf ), that we have programmed in Stata and made available via the robivreg command. We have improved on their estimator in two different ways. First, we use a weighting scheme that makes our estimator more efficient and allows the computations of the usual identification and overidentifying restrictions tests. Second, we implement a generalized Hausman test for the presence of outliers. Copyright 2012 by StataCorp LP.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by StataCorp LP in its journal Stata Journal.
Volume (Year): 12 (2012)
Issue (Month): 2 (June)
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-2/st0252/
Contact details of provider:
Web page: http://www.stata-journal.com/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Darwin Ugarte Ontiveros & Vincenzo Verardi, 2012. "Supposedly Strong Instruments and Good Leverage Points," Working Papers 1203, University of Namur, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).
If references are entirely missing, you can add them using this form.