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st: RE: Robust instrumental variable regression


From   Jan Bryla <JBR@finansraadet.dk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Robust instrumental variable regression
Date   Fri, 14 Jan 2011 13:18:56 +0100

Could using the vce(robust) option when performing -ivregress- potentially solve you problem?

Jan Bryla
The Danish Bankers Association


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ramiro H. Gálvez
Sent: 14. januar 2011 13:09
To: statalist@hsphsun2.harvard.edu
Subject: st: Robust instrumental variable regression

I am using stata 11 and I'm having problems with outliers in a 2SLS
instrumental variable regression. Is there any implementation in stata
equivalent to rreg for instrumental variable regression (like rivregress)?
Can anyone tell me of some bibliography on the subject? Finally, it's
correct to make an "riveg" (robust ivreg), by making the first and second
estimation in a 2SLS regression by myself using rreg?

Thanks!

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