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st: update of ivreg2h


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: update of ivreg2h
Date   Mon, 3 Dec 2012 14:39:24 +0000

<>
The ivreg2h package, implementing IV estimation with heteroskedasticity-based instruments via Lewbel's (JBES 2012) approach, has been updated on SSC. The original version labeled generated instruments with arbitrary names. That has now been corrected, and if time-series operators are used in the command, the resulting variables will be properly labeled. An automatic Hayashi "C" test of the overidentifying restrictions relating to excluded instruments is now performed if the routine is applied to a classically-identified equation. The help file has also been rewritten to provide more detail on the saved results and for an additional clickable example.

If you would like to know more,                           ssc describe ivreg2h
If you have already downloaded the routine,   adoupdate ivreg2h, update

Please note that the Baum-Schaffer-Stillman ivreg2 command has also been updated on SSC. Changes are minor, relating only to improvements in error messages. 

Kit Baum and Mark Schaffer




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