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st: -ivreg2- updated


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: -ivreg2- updated
Date   Thu, 17 Jul 2008 09:44:33 -0400

< >

The -ivreg2- routine of Baum, Schaffer, Stillman (most recently described in Stata Journal, 7(4), 2007) has been updated for an error in the automatic bandwidth selection routine. Thanks to Gareth Thomas' eagle eye for spotting it. Our computation was based on the formulas given in [R] ivregress, which were in turn based on a textbook that contains a typographical error (a constant of 1.1447, quoted by Newey and West, was mistyped as 1.4117 in the book). That error affects -ivregress- and -ivreg2-. -ivreg2- has now been corrected, so when using auto bandwidth selection, its results may differ slightly from those of -ivregress-. This only affects estimates using the bw(auto) option.

Once an ado-file update to -ivregress- has been released, we will recertify -ivreg2-, as we routinely do.

The corrected version is available from -ssc- or -adoupdate-.

Kit

Kit Baum, Boston College Economics and DIW Berlin
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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