Title

mlr2sls -- Multiple-LATEs-robust standard error for 2SLS

Syntax

mlr2sls depvar [varlist1]
(varlist2 =
varlist_iv) [if] [in]
[, options]

SE/Robust
vce(vcetype) vcetype may be
mlcrobust clustvar, conventional, or ccluster clustvar; default is mlrobust

Reporting
level(#) set confidence level; default is level(95)

varlist1 and varlist_iv may
contain factor variables; see fvvarlist.

depvar, varlist1, varlist2, and varlist_iv may
contain time-series operators; see tsvarlist.

Description

mlr2sls fits a linear regression of depvar on
varlist1 and varlist2, using varlist_iv
(along with varlist1) as instruments for varlist2.

mlr2sls supports estimation of standard errors robust to multiple
local average treatment effects (LATEs).

In the language of instrumental variables, varlist1 are the included exogenous variables
and varlist_iv are the excluded exogenous variables, and varlist2 are the endogenous variables.

Options

SE/Robust

vce(vcetype) specifies the type of standard error reported, which includes types that are
robust to multiple-LATEs and heteroscedasticity as default (mlrobust),
that are robust to intragroup correlation as well (mlcrobust clustvar),
that are robust to heteroskedasticity but not to multiple-LATEs (conventional),
and that are robust to intragroup correlation (ccluster clustvar).

At most two cluster variables are allowed after mlcrobust or ccluster.
When two cluster variables are specified, two-way clustering standard errors will be calculated.

Reporting

level(#); see
[R] estimation options.

Examples

Setup

. webuse hsng2

Fit a regression via 2SLS, requesting multiple-LATEs-robust standard errors

. mlr2sls rent pcturban (hsngval = faminc i.region), vce(mlrobust)

Saved results

mlr2sls saves the following in e():

Scalars

e(N) number of observations

Macros

e(cmd) mlr2sls

e(vce) vcetype specified in vce()

e(clustvar) name of cluster variable

e(vcetype) title used to label Std. Err.

e(depvar) name of dependent variable

e(exogr) exogenous regressors

e(insts) instruments

e(instd) instrumented variable

e(title) title in estimation output

e(properties) b V

Matrices

e(b) coefficient vector

e(V) variance-covariance matrix of the estimators

Functions

e(sample) marks estimation sample

References

Lee S. (2017) Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs. Journal of Business & Economic Statistics.