st: re: ivreg2 update and fixed-effect estimator

[Kit Baum <baum@bc.edu>]

Joe said

1. where to get the latest version of ivreg2? I always found it  
difficult to
identify the version of an ado file from the internet. The one I  
found from
the net is version 02.1.14. But searched from the web, the latest  
version
seems to be 2.1.18. How to update the files if ivreg2 is always  
installed

2. Under ivreg2, how to test the exogeneity of a regressor under a
fixed-effect (or random-effects) estimator?

3. how to request a DWH test using a robust standard error?



1. The latest version of ivreg2 (or of just about any user-authored  
software) is available using the ssc or adoupdate commands. It is  
always straightforward to check the version number: ssc type  
ivreg2.ado will display it, as will "which ivreg2" after installation.

2. You need to use xtivreg2 (a 'wrapper' for ivreg2, also available  
from ssc) and the orthog() or endog() option. The help file explains  
them.

3. The last paragraph of Section 5 of Baum, Schaffer, Stillman, SJ 3 
(1) [also available in preprint form as BC WP 545] speaks to this  
point. A robust DWH test is available with orthog() or the newer  
option endog().  endog() is not described in that paper, but is  
described in the help file. A followup paper describing these  
additional features is in preparation.

Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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