"ivreg2h" does not work

[Mario Liebensteiner]

Dear all,

I am trying to run a regression using the command "ivreg2h" (because I'd like to apply Lewbel's herteroskedasticity-based instrumental variables approach).

I constantly get error messages, even when I run the examples provided in the help file:


webuse grunfeld
ivreg2h invest L(1/2).kstock (mvalue=), fe

The error message I get is:

"
Too few excluded instruments: standard IV model not estimable

IV with Generated Instruments only
Fixed Effects by(company), 10 groups
Instruments created from Z:
L.kstock L2.kstock
option endog() not allowed
r(198);
"

I am using Stata/SE 16.1.

Would anyone have a solution to this problem? Many thanks in advance!

Best,
Mario

[Mario Liebensteiner]

Dear all,
I now figured out that have not had installed "ivreg2" as a prerequisite for "ivreg2h". Silly mistake.
Best,
Mario