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- W3122302904 abstract "mlr2sls calculates the standard error for over-identified 2SLS. Under treatment effect heterogeneity an instrument identifies the instrument-specific local average treatment effect (LATE). When multiple instruments are used together for estimation, the 2SLS estimand is a weighted average of the LATEs and this makes the underlying moment condition be misspecified. As a result the conventional heteroskedasticity-robust standard error is biased. mlr2sls provides a standard error which corrects for this bias and is consistent. It is also robust to heteroskedasticity and clustering is allowed. See Lee, Journal of Business and Economic Statistics, 2017." @default.
- W3122302904 created "2021-02-01" @default.
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- W3122302904 date "2018-01-01" @default.
- W3122302904 modified "2023-09-23" @default.
- W3122302904 title "MLR2SLS: Stata module for 2SLS estimation with multiple-LATEs robust standard error under treatment effect heterogeneity" @default.
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