The ivreg2 (extended ivreg) package, described in Baum, Schaffer and
Stillman, Stata Journal 3:1, has been extensively revised and extended.
In addition to its earlier capabilities, the program will now calculate
AC (autocorrelation-consistent) and HAC ("Newey-West"-like) standard
errors for OLS, IV, and GMM estimators. Unlike official 'newey', ivreg2
offers a choice of several kernel estimators for AC and HAC (not just
the Bartlett kernel employed by Newey-West). The new ivreg2 will also
perform LIML and k-class estimation, and will operate properly on panel
data.
A variety of clickable examples with actual data sets are provided in
the on-line help file to illustrate the various options of the program.
The new ivreg2 is available from SSC with ssc install ivreg2, replace
