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Re: st: Robust instrumental variable regression


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Robust instrumental variable regression
Date   Fri, 14 Jan 2011 13:52:16 -0500

Ramiro H. Gálvez <ramirogalvez@gmail.com>:
Definitely don't build your own using -rreg-
Instead read:
Chernozhukov, V. and Hansen, C. 2008. Instrumental variable quantile
regression: A robust inference approach. Journal of Econometrics,
142(1):379--398.
and
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=281091
and related work.  Or transform variables, or reweight using estimated
precision of measurements, etc.

On Fri, Jan 14, 2011 at 7:09 AM, Ramiro H. Gálvez
<ramirogalvez@gmail.com> wrote:
> 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?

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