Mark Schaffer, Steven Stillman and I are pleased to announce the
availability of an improved version of the ivreg2 package. ivreg2, an
extension to official Stata's ivreg2, regress and newey commands,
performs extended instrumental variables/2SLS, GMM and AC/HAC, LIML and
k-class regression.
Revisions since version 2.0.06 (available from SSC since July 26 2004)
include
* continuously-updated GMM estimator of Hansen et al. (CUE)
* tests for weak instruments, instrument redundancy
* Anderson-Rubin test for significance of endogenous regressors
* A number of minor bugfixes
* Enhancements to the help file, including additional clickable examples
* A downloadable certification script
ivreg2 continues to be available for Stata version 7, 8.x and 9. The
certification script has been successfully executed on Stata version 9.
The revised ivreg2 package is available via
ssc install ivreg2, replace
Thanks to the many Stata users who have assisted with testing of this
package.
