st: Choosing the number of instruments (Donald/Newey)

[Peter Glick <pjg4@cornell.edu>]

Hello,

I am interested in implementing the Mean Square Error criterion of Donald 
And Newey (Econometrica 2001 vol. 69 n.5) for choosing among many 
instruments in a 2SLS context.  Has anyone written code (in stata or any 
other language) to do this?
If so, I'd be grateful if you would be willing to share it.

Peter Glick
Cornell University

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