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. 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 3.0.04 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
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S425401.
Size: Programming language: Stata Requires: Stata version 10.1 Date of creation: 02 Apr 2002 Date of revision:
28 Jun 2010 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
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)