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IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8)

Author

Listed:
  • Christopher F Baum

    () (Boston College
    DIW Berlin)

  • Mark E Schaffer

    () (Heriot-Watt University)

  • Steven Stillman

    () (Motu Economic and Public Policy Research)

Abstract

ivreg28 provides extensions to Stata's official ivreg and newey. ivreg28 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 Cragg-Donald tests for weak instruments, redundancy of instruments, significance of endogenous regressors. ivreg28 can also be used for ordinary least squares (OLS) estimation using the same command syntax as Stata's official regress and newey. ivreg28 is the last version of ivreg2 which runs on Stata 8.2. Stata 9+ users should use ivreg2. Stata 7 users may use the version of ivreg2 published in Stata Journal (2003), accessible via net search ivreg2.

Suggested Citation

  • Christopher F Baum & Mark E Schaffer & Steven Stillman, 2007. "IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8)," Statistical Software Components S4254011, Boston College Department of Economics, revised 30 Jan 2011.
  • Handle: RePEc:boc:bocode:s4254011
    Note: This module may be installed from within Stata by typing "ssc install ivreg28". Windows users should not attempt to download these files with a web browser.
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