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

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Author Info

  • Christopher F Baum

    ()
    (Boston College
    DIW Berlin)

  • Mark E Schaffer

    ()
    (Heriot-Watt University)

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 routine will work with ivreg29 (for version 9) or ivreg28 (for version 8.2) if one of those packages is installed.

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File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2h.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2h.sthlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/u/UK12_baum.pdf
File Function: documentation
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457555.

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Programming language: Stata
Requires: Stata version 8.2 and ivreg2 (or ivreg29 or ivreg28) and ranktest from SSC
Date of creation: 17 Nov 2012
Date of revision: 03 Jan 2014
Handle: RePEc:boc:bocode:s457555

Note: This module should be installed from within Stata by typing "ssc install ivreg2h". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: instrumental variables; heteroskedasticity; identification;

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