SIVREG: Stata module to perform adaptive Lasso with some invalid instruments

Helmut Farbmacher

Statistical Software Components from Boston College Department of Economics

Abstract: sivreg estimates a linear instrumental variables regression where some of the instruments fail the exclusion restriction and are thus invalid. The LARS algorithm (Efron et al., 2004) is applied as long as the Hansen statistic (OID test) rejects. The results report the instruments, which are identified as invalid, and report the Post-Lasso estimate from a 2SLS regression applying the (adaptive) Lasso selection. For general information about adaptive Lasso see Zou (2006).

Language: Stata
Requires: Stata version 10 and moremata from SSC (q.v.)
Keywords: instrumental variables; IV; Lasso; LARS (search for similar items in EconPapers)
Date: 2017-08-20, Revised 2018-07-31
Note: This module should be installed from within Stata by typing "ssc install sivreg". 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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