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st: Update to -ivreg2- now available

From   Mark Schaffer <[email protected]>
To   [email protected]
Subject   st: Update to -ivreg2- now available
Date   Fri, 29 Jul 2005 18:16:43 +0100 (BST)

Dear Statalisters:

A new release of -ivreg2-, version 2.1.08, by Baum/Schaffer/Stillman is now
available from the SSC archives.

The main changes:

1. A new option, -savefirst-, to save first-stage regressions for later
display using Stata's -estimates- command.

2. Better handling of collinearities.

3. A bug fix to the -orthog- option when used in conjunction with -cluster-
(see below for details).

4. Various minor bug fixes and presentational changes.


Details of the bug referred to in (3):  the -orthog- option, combined with
-cluster-, should generate a "C" or "difference-in-Sargan" test statistic
that is robust to arbitrary heteroskedasticity and within-group correlation.
 As is standard in Stata, the use of -cluster- with ivreg2 implies -robust-.
 I am not sure about general practice, but some of us tend to include
-robust- along with -cluster- anyway, and some of us tend to say just
-cluster-.  The bug was that -ivreg2- would produce the correct C test
statistic only if the user also specified -robust-.  If -robust- was
omitted, the "difference-in-Sargan" was a difference of a cluster-robust
Sargan and a non-robust Sargan.

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]


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