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st: ivreg2 revision available

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: ivreg2 revision available
Date   Thu, 23 Jun 2005 21:25:35 -0400

Mark Schaffer, Steven Stillman and I are pleased to announce the availability of an improved version of the ivreg2 package. ivreg2, an extension to official Stata's ivreg2, regress and newey commands, performs extended instrumental variables/2SLS, GMM and AC/HAC, LIML and k-class regression.

Revisions since version 2.0.06 (available from SSC since July 26 2004) include
* continuously-updated GMM estimator of Hansen et al. (CUE)
* tests for weak instruments, instrument redundancy
* Anderson-Rubin test for significance of endogenous regressors
* A number of minor bugfixes
* Enhancements to the help file, including additional clickable examples
* A downloadable certification script

ivreg2 continues to be available for Stata version 7, 8.x and 9. The certification script has been successfully executed on Stata version 9.

The revised ivreg2 package is available via

ssc install ivreg2, replace

Thanks to the many Stata users who have assisted with testing of this package.

Kit Baum, Boston College Economics

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