Steinhauer, Andreas; Wuergler, Tobias - Institut für Volkswirtschaftslehre, … - 2010
This paper develops basic algebraic concepts for instrumental variables (IV) regressions which are used to derive the leverage and influence of observations on the 2SLS estimate and compute alternative heteroskedasticity-consistent (HC1, HC2 and HC3) estimators for the 2SLS covariance matrix in...