Dear All,
The user-written command ivreg2h estimates the Lewbel (2012) approach and constructs instruments on the basis of the heteroskedasticity of the first-stage residuals.
Let's say I have the following output (constructed example):
How do I interprete the variables __00000I - __00000O? Is __00000I the generated instrument based on the first predictor variable specified for instrument construction? __00000J the second one etc.?
Thanks!
References:
Lewbel, A. (2012). Using heteroscedasticity to identify and estimate mismeasured and endogenous regressor models. Journal of Business & Economic Statistics, 30(1), 67-80.
The user-written command ivreg2h estimates the Lewbel (2012) approach and constructs instruments on the basis of the heteroskedasticity of the first-stage residuals.
Let's say I have the following output (constructed example):
How do I interprete the variables __00000I - __00000O? Is __00000I the generated instrument based on the first predictor variable specified for instrument construction? __00000J the second one etc.?
Thanks!
References:
Lewbel, A. (2012). Using heteroscedasticity to identify and estimate mismeasured and endogenous regressor models. Journal of Business & Economic Statistics, 30(1), 67-80.
