Advanced Search
MyIDEAS: Login

IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation

Contents:

Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Mark E Schaffer

    ()
    (Heriot-Watt University)

  • Steven Stillman

    ()
    (Motu Economic and Public Policy Research)

Abstract

ivreg2 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 3.1.08 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2.sthlp
File Function: help file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg2_p.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/l/livreg2.mlib
File Function: help file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ivreg2_3.1.08.do
File Function: certification script
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S425401.

as in new window
Size:
Programming language: Stata
Requires: Stata version 10.1 and ranktest from SSC
Date of creation: 02 Apr 2002
Date of revision: 02 Jan 2014
Handle: RePEc:boc:bocode:s425401

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
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: instrumental variables; Sargan test; robust estimation; orthogonality; GMM; Hansen's J; heteroskedastic OLS; HAC; bandwidth; k-class estimator; LIML;

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s425401. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.