st: weakiv now available from SSC

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

With thanks to Kit Baum, -weakiv- is now available from SSC.

-weakiv- calculates weak-instrument-robust tests of the coefficient on the endogenous variable in an instrumental variables (IV) estimation. -weakiv- supports estimation of linear IV models by -ivregress-, -ivreg2- and -ivreg2h-, and estimation of probit and tobit IV models by -ivprobit- and -ivtobit-. In an exactly-identified model with one instrument, -weakiv- reports the Anderson-Rubin (AR) test statistic. When the IV model contains more than one instrument (the model is overidentified), -weakiv- also conducts the conditional likelihood ratio (CLR) test, the Lagrange multiplier K test, the J overidentification test, and a combination of the K and overidentification tests (the K-J test).

-weakiv- also inverts these tests to construct confidence intervals that are robust to weak identification.  It furthermore provides a graphing facility for visual examination and presentation of rejection frequencies and confidence intervals based on these tests.

For linear IV models, -weakiv- supports all the variance-covariance estimators supported by -ivregress- or -ivreg2- (robust, cluster-robust, HAC, 2-way clustering, Kiefer and Driscoll-Kraay SEs, etc.).

-weakiv- builds on and extends the command -rivtest- by Finlay and Magnusson (SJ 9:3); see the help file for details of the extensions and differences.  -weakiv- requires ranktest (Kleibergen and Schaffer) to be installed, and will prompt the user to install it if necessary.

-weakiv- can be installed via

	ssc install weakiv

Keith Finlay
Leandro Magnusson
Mark Schaffer



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