Many instruments: Implementation in Stata

Stanislav Anatolyev and Alena Skolkova ()
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Alena Skolkova: CERGE-EI

Stata Journal, 2019, vol. 19, issue 4, 849-866

Abstract: In recent decades, econometric tools for handling instrumental-variable regressions characterized by many instruments have been developed. We introduce a command, mivreg, that implements consistent estimation and testing in linear instrumental-variables regressions with many (possibly weak) instruments. mivreg covers both homoskedastic and heteroskedastic environments, estimators that are both nonrobust and robust to error nonnormality and projection matrix limit, and parameter tests and specification tests both with and without correction for existence of moments. We also run a small simulation experiment using mivreg and illustrate how mivreg works with real data.

Keywords: mivreg; instrumental-variables regression; many instruments; limited information maximum likelihood; Fuller correction; robust standard errors; specification testing (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:19:y:2019:i:4:p:849-866

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DOI: 10.1177/1536867X19893627

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