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IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9)

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

  • Mark E Schaffer

    (Heriot-Watt University)

  • Steven Stillman

    (Motu Economic and Public Policy Research)

Programming Language

Stata

Abstract

ivreg2 provides extensions to Stata's official ivreg and newey. ivreg2 supports the same command syntax as official ivreg and supports (almost) all of its options. The main extensions: 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. 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 2.2.10 of ivreg2, updated from that published in Stata Journal, 5(4), requiring Stata 9.2 or better. Stata 8 users may use ivreg28 (q.v.) 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, 2010. "IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9)," Statistical Software Components S4254010, Boston College Department of Economics, revised 19 Jan 2015.
    • Handle: RePEc:boc:bocode:s4254010
    Note: This module may be installed from within Stata by typing "ssc install ivreg29". 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/ivreg29.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29.hlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29_p.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivreg29_cue.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_ivreg29.do
    File Function: certification script
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    Citations

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    Cited by:

    1. Horst Rottmann & Timo Wollmershäuser, 2013. "A micro data approach to the identification of credit crunches," Applied Economics, Taylor & Francis Journals, vol. 45(17), pages 2423-2441, June.
    2. Alcaraz, Carlo & Chiquiar, Daniel & Salcedo, Alejandrina, 2012. "Remittances, schooling, and child labor in Mexico," Journal of Development Economics, Elsevier, vol. 97(1), pages 156-165.

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