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

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Mark E Schaffer

    (Heriot-Watt University)

  • Steven Stillman

    (Free University of Bozen-Bolzano)

Programming Language

Stata

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. New in this version: ivreg2 now supports factor variables. This is version 4.1.11 of ivreg2, updated from that published in Stata Journal, 5(4), requiring Stata 11.2 or better. Stata 8.2/9.2/10.2 users may use this routine, which will automatically call ivreg28, ivreg29, or ivreg210, respectively. These versions are now included in the ivreg2 package. Stata 7 users may use the Stata Journal version of ivreg2, accessible via net search ivreg2.

Suggested Citation

  • Christopher F Baum & Mark E Schaffer & Steven Stillman, 2002. "IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation," Statistical Software Components S425401, Boston College Department of Economics, revised 10 May 2022.
    • Handle: RePEc:boc:bocode:s425401
    Note: This module may be installed from within Stata by typing "ssc install ivreg2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    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_4.1.11.do
    File Function: certification script
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg210.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg210.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg210_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ivreg210_3.1.10.do
    File Function: certification script
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29_cue.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ivreg29.do
    File Function: certification script
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg28.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg28.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg28_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg28_cue.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ivreg28.do
    File Function: certification script
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/livreg2.do
    File Function: Mata code
    Download Restriction: no
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