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Many instruments: Implementation in Stata

Author

Listed:
  • Stanislav Anatolyev

    (CERGE-EI)

  • Alena Skolkova

    (CERGE-EI)

Abstract

In recent decades, econometric tools for handling instrumental-variable regressions characterized by many instruments have been developed. We introduce a command, mivreg, that implements consistent estimation and testing in linear instrumental-variables regressions with many (possibly weak) instruments. mivreg covers both homoskedastic and heteroskedastic environments, estimators that are both nonrobust and robust to error nonnormality and projection matrix limit, and parameter tests and specification tests both with and without correction for existence of moments. We also run a small simulation experiment using mivreg and illustrate how mivreg works with real data.

Suggested Citation

  • Stanislav Anatolyev & Alena Skolkova, 2019. "Many instruments: Implementation in Stata," Stata Journal, StataCorp LP, vol. 19(4), pages 849-866, December.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:4:p:849-866
    DOI: 10.1177/1536867X19893627
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    Cited by:

    1. Luca Bettarelli & Michela Cella & Giovanna Iannantuoni & Elena Manzoni, 2021. "It’s a matter of confidence. Institutions, government stability and economic outcomes," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(2), pages 709-738, July.

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