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

Listed author(s):
  • Christopher F Baum


    (Boston College
    DIW Berlin)

  • Mark E Schaffer


    (Heriot-Watt University)

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.

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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 9 and ivreg2, ranktest from SSC
Date of creation: 17 Nov 2012
Date of revision: 24 Mar 2017
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
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