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st: ivreg2 with weights


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 with weights
Date   Fri, 14 Aug 2009 20:26:22 -0400

<>
Jeff Pitblado's message earlier today indicated that a coding error in Stata's _robust routine was to blame for -ivreg2- results changing under Stata 11. StataCorp have now released an update which corrects that error. With that update in place, Baum/Schaffer/Stillman's - ivreg2- now produces the correct results when used with weights. You can verify that with the certification script distributed with - ivreg2- (ssc desc ivreg2), which now runs to completion on Stata 11, and contains three tests for the equivalence of -ivreg2- and - ivregress- results when weights are employed.

Thanks to Mark Schaffer for tracking down the source of the problem and documenting it to StataCorp, whose developers very rapidly squashed this bug. As they noted, it did not affect any official Stata commands, but did adversely affect -ivreg2- and perhaps other user- written commands that make use of _robust.

If you are running Stata 11, I recommend that you -update all-; the update contains this fix and a number of other ado-file changes that have been discussed on Statalist. It does not contain an executable update, which we have been told will be forthcoming later this month.

Kit

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



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