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

Liyang Sun

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 11.2 and avar, ivreg2 and moremata from SSC (q.v.)
Keywords: IV; weak instruments; confidence sets (search for similar items in EconPapers)
Date: 2018-07-21, Revised 2019-01-12
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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http://fmwww.bc.edu/repec/bocode/t/twostepweakiv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twostepweakiv.sthlp help file (text/plain)

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