# IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation

*Christopher Baum*,
*Mark Schaffer* and
*Steven Stillman*

Statistical Software Components from Boston College Department of Economics

**Abstract:**
ivreg2 provides extensions to Stata's official ivregress and newey. Its main capabilities: 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; two-way clustering of standard errors; Kiefer and Driscoll-Kraay standard errors. ivreg2 can also be used for ordinary least squares (OLS) estimation using the same command syntax as Stata's official regress and newey. New in this version: ivreg2 now supports factor variables. This is version 4.1.11 of ivreg2, updated from that published in Stata Journal, 5(4), requiring Stata 11.2 or better. Stata 8.2/9.2/10.2 users may use this routine, which will automatically call ivreg28, ivreg29, or ivreg210, respectively. These versions are now included in the ivreg2 package. Stata 7 users may use the Stata Journal version of ivreg2, accessible via net search ivreg2.

**Language:** Stata

**Requires:** Stata version 11.2 and ranktest from SSC

**Keywords:** instrumental variables; Sargan test; robust estimation; orthogonality; GMM; Hansen's J; heteroskedastic OLS; HAC; bandwidth; k-class estimator; LIML (search for similar items in EconPapers)

**Date:** 2002-04-02, Revised 2024-08-14

**Note:** This module may be installed from within Stata by typing "ssc install ivreg2". 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.

**References:** Add references at CitEc

**Citations:** View citations in EconPapers (52)

**Downloads:** (external link)

http://fmwww.bc.edu/repec/bocode/i/ivreg2.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg2.sthlp help file (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg2_p.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/l/livreg2.mlib help file (text/plain)

http://fmwww.bc.edu/repec/bocode/c/cs_ivreg2_4.1.11.do certification script (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg210.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg210.sthlp help file (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg210_p.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/c/cs_ivreg210_3.1.10.do certification script (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg29.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg29.hlp help file (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg29_p.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg29_cue.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/c/cs_ivreg29.do certification script (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg28.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg28.hlp help file (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg28_p.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/i/ivreg28_cue.ado program code (text/plain)

http://fmwww.bc.edu/repec/bocode/c/cs_ivreg28.do certification script (text/plain)

http://fmwww.bc.edu/repec/bocode/l/livreg2.do Mata code (text/plain)

**Related works:**

This item may be available elsewhere in EconPapers: Search for items with the same title.

**Export reference:** BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text

**Persistent link:** https://EconPapers.repec.org/RePEc:boc:bocode:s425401

**Ordering information:** This software item can be ordered from

http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.

Bibliographic data for series maintained by Christopher F Baum ().