IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation
Christopher F Baum
Mark E Schaffer
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 2.2.09 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.
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