Heteroscedasticity

Identification (biology)

Mathematics

Biology

Statistics

Econometrics

Estimator

Economics

Programming language

Software

Advice (programming)

Computer science

Linear regression

Botany

The Stata Journal Promoting communications on statistics and Stata

Lewbel (2012, Journal of Business and Economic Statistics 30: 67–80) provides a heteroskedasticity-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 command ivreg2h by Baum and Schaffer (2012, Statistical Software Components S457555, Department of Economics, Boston College). In this article, we give advice and instructions to researchers who want to use this estimator.

Advice on using heteroskedasticity-based identification