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  • ivreg2h: generated instruments

    Dear All,

    I am using the ivreg2h user-written routine, which implements the procedure in Lewbel (2012) "Using heteroskedasticity to identify and estimate mismeasured and endogenous regressor models". I understood the procedure of the estimator (this presentation is pretty useful indeed). So basically, the instruments for the endogenous variable are created internally as the product between the centered-around-the-mean exogenous regressors and the error term (the latter being the vector of residuals from the ‘first-stage regression’ of each endogenous regressor on all exogenous regressors, including a constant vector). Typically the first stage regression looks like this:

    Code:
    First-stage regressions
    -----------------------
    
    
    First-stage regression of pc:
    
    Statistics robust to heteroskedasticity
    Number of obs =                    125
    ------------------------------------------------------------------------------
                 |               Robust
              pc |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
    -------------+----------------------------------------------------------------
        __00000A |  -.0442455   .1093248    -0.40   0.686    -.2607383    .1722473
        __00000B |   .4788744   .7709396     0.62   0.536    -1.047796    2.005545
        __00000C |   1.243266   1.387136     0.90   0.372    -1.503641    3.990173
             y80 |   .7705854   .2422635     3.18   0.002     .2908377    1.250333
            lnwi |   .2088213   .6806487     0.31   0.760    -1.139048    1.556691
           lnnda |  -6.197757   1.553207    -3.99   0.000     -9.27353   -3.121985
           _cons |   12.07512   5.223086     2.31   0.023     1.731989    22.41825
    ------------------------------------------------------------------------------
    Obviously 00000A,
    00000B and 00000C are the generated instruments, being 3 since 3 are the exogenous regressors. My question is: which of the exogenous regressors 00000A refers to? Is it the instrument constructed by using the exogenous regressors y80 (as it is the first exogenous regressors in the list)? What I cannot understand is the order of generating the instruments, whether the routine uses the order of appearance of the exogenous regressors in the table or any other logic. Knowing it, I can figure out if 00000A is referring to y80, 00000B is referring to lnwi and so on.

    I hope my question is clear. Thanks in advance for your help.

    Dario

    Last edited by Dario Maimone Ansaldo Patti; 13 Sep 2019, 10:46.
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