Advice on using heteroscedasticity based identification

Baum, Christopher F., and Arthur Lewbel. “Advice on using heteroscedasticity based identification”. Boston College Working Papers in Economics 975, 2019. http://hdl.handle.net/2345/bc-ir:108516.
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Abstract

Lewbel (2012)  provides a heteroscedasticity 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 Stata module ivreg2h by Baum and Schaffer (2012). This note gives some advice and instructions to researchers who want to use this estimator.

Title
Advice on using heteroscedasticity based identification
Author
Baum, Christopher F.
Lewbel, Arthur
School
Arts and Sciences
Discipline
Economics
Genre
working paper
Date Issued
2019
Series Title
Boston College Working Papers in Economics
Series Number
975
General Note
Originally posted on: http://ideas.repec.org/p/boc/bocoec/975.html
Revised version of working paper originally released in February 2018.
Persistent Link
http://hdl.handle.net/2345/bc-ir:108516
Subject
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Estimation: General
Econometric Software
instrumental variables
linear regression
endogeneity
identification
heteroscedasticity

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