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TWOSTEPWEAKIV: Stata module to implement two-step weak-instrument-robust confidence sets for linear instrumental-variable (IV) models

Author

Listed:
  • Liyang Sun

    (MIT)

Programming Language

Stata

Abstract

twostepweakiv implements two-step weak-instrument-robust confidence sets based on Andrews (2018) and refined projection method for subvector inference based on Chaudhuri and Zivot (2011) for linear instrumental-variable (IV) models. twostepweakiv supports a range of variance-covariance estimators including heteroskedastic, autocorrelation, and one- and two-way cluster-robust VCEs. twostepweakiv builds on and extends the command weakiv by Finlay, Magnusson and Schaffer (2016). twostepweakiv should be used as a standalone estimator where the user provides the specification of the model. twostepweakiv works by calling ivreg2 first to parse the specification and then estimate a minimum-distance model depending what the user has specified as estimator.

Suggested Citation

  • Liyang Sun, 2018. "TWOSTEPWEAKIV: Stata module to implement two-step weak-instrument-robust confidence sets for linear instrumental-variable (IV) models," Statistical Software Components S458507, Boston College Department of Economics, revised 12 Jan 2019.
    • Handle: RePEc:boc:bocode:s458507
    Note: This module should be installed from within Stata by typing "ssc install twostepweakiv". 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/t/twostepweakiv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/twostepweakiv.sthlp
    File Function: help file
    Download Restriction: no
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