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Implementing new econometric tools in Stata

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  • Christopher F Baum

    (Boston College
    DIW Berlin)

Abstract

I discuss the implementation of two state-of-the-art econometric estimators in Stata. The first addresses the problem of estimating a binary response with one or more limited endogenous variables. Lewbel, Dong, and Yang (Canadian J. Econ., 2012) present a solution based on Lewbel's "special regressor" method, a version of which I have implemented in Stata as sspecialreg. The second considers the problem of estimating an equation with instrumental variables techniques where sufficient instruments may not be available. Lewbel (J. Bus. Econ. Stat., 2012) presents a solution based on generated instruments that take advantage of heteroskedasticity. I have implemented that routine as an extension of Baum, Schaffer, and Stillman's ivreg2 (Stata J., 2003, 2007) as ivreg2h. I will motivate these two extensions to Stata's econometric capabilities with illustrations of their use.

Suggested Citation

  • Christopher F Baum, 2013. "Implementing new econometric tools in Stata," Mexican Stata Users' Group Meetings 2013 09, Stata Users Group.
    • Handle: RePEc:boc:msug13:09
    as

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    File URL: http://fmwww.bc.edu/repec/msug2013/mxsug_baum.pdf
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    Cited by:

    1. Manini Ojha, 2022. "Gender gap in schooling: Is there a role for health insurance?," Journal of International Development, John Wiley & Sons, Ltd., vol. 34(1), pages 29-54, January.
    2. Vaiknoras, Kate & Larochelle, Catherine, 2021. "The impact of iron-biofortified bean adoption on bean productivity, consumption, purchases and sales," World Development, Elsevier, vol. 139(C).
    3. Beverelli, Cosimo & Boffa, Mauro & Keck, Alexander, 2014. "Trade policy substitution: Theory and evidence from Specific Trade Concerns," WTO Staff Working Papers ERSD-2014-18, World Trade Organization (WTO), Economic Research and Statistics Division.
    4. Chau, Tak Wai, 2015. "Identification through Heteroscedasticity: What If We Have the Wrong Form of Heteroscedasticity?," MPRA Paper 65888, University Library of Munich, Germany.
    5. Jongsoo Kim & Richard Makadok, 2022. "Where the stars still shine: Some effects of star‐performers‐turned‐managers on organizational performance," Strategic Management Journal, Wiley Blackwell, vol. 43(12), pages 2629-2666, December.
    6. Goksu Aslan, 2017. "The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 19-39.
    7. Adnan M. S. Fakir & Naveen Abedin, 2021. "Empowered by Absence: Does Male Out-migration Empower Female Household Heads Left Behind?," Journal of International Migration and Integration, Springer, vol. 22(2), pages 503-527, June.

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