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st: ivreg2 updated


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 updated
Date   Sun, 19 Nov 2006 08:47:59 -0500

The -ivreg2- package of Baum, Schaffer, Stillman has been updated. We have added an improved test for weak instruments---the Cragg/Donald test---for which critical values are available from the work of Jim Stock and Moto Yogo. We thank them for permission to reproduce their published critical values in our code.

The ivreg2 program's output now features hyperlinks to the relevant section of the help file for a number of the statistics reported. The help file itself has been extensively redone with embedded hyperlinks and section headings to ease navigation.

ivreg2 requires Stata 8.2 or better. Users of Stata 7 may use the version accessible from the Stata Journal. You may download the updated ivreg2 using the ssc command or by adoupdate. Please do not download these routines with a web browser, especially in a Windows environment.

We thank the many users who have helped us improve this routine. We are working on more formal documentation of its enhanced abilities, and will circulate that when it is completed. The ivreg2 package includes, as an ancillary file, the certification script which we use to test its reliability. For more information on Stata software certification, please see Bill Gould's paper
http://ideas.repec.org/a/tsj/stataj/v1y2001i1p29-50.html

Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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