IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation
Abstractivreg2 provides extensions to Stata's official ivregress and newey. Its main capabilities: two-step feasible GMM estimation; continuously updated GMM estimation (CUE); LIML and k-class estimation; automatic output of the Hansen-Sargan or Anderson-Rubin statistic for overidentifying restrictions; C statistic test of exogeneity of subsets of instruments (orthog() option); kernel-based autocorrelation-consistent (AC) and heteroskedastic and autocorrelation-consistent (HAC) estimation, with user-specified choice of kernel; Cragg's "heteroskedastic OLS" (HOLS) estimator; default reporting of large-sample statistics (z and chi-squared rather than t and F); small option to report small-sample statistics; first-stage regression reported with F-test of excluded instruments and R-squared with included instruments "partialled-out"; enhanced Kleibergen-Paap and Cragg-Donald tests for weak instruments, redundancy of instruments, significance of endogenous regressors; two-way clustering of standard errors; Kiefer and Driscoll-Kraay standard errors. ivreg2 can also be used for ordinary least squares (OLS) estimation using the same command syntax as Stata's official regress and newey. This is version 3.1.09 of ivreg2, updated from that published in Stata Journal, 5(4), requiring Stata 10.1 or better. Stata 9.2 users may use ivreg29 (q.v.). Stata 8 users may use ivreg28 (q.v.) Stata 7 users may use the Stata Journal version of ivreg2, accessible via net search ivreg2.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S425401.
Programming language: Stata
Requires: Stata version 10.1 and ranktest from SSC
Date of creation: 02 Apr 2002
Date of revision: 28 Jul 2014
Note: This module may be installed from within Stata by typing "ssc install ivreg2". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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