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st: Update to -weakiv- on SSC


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Update to -weakiv- on SSC
Date   Thu, 3 Oct 2013 16:07:23 +0000

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

-weakiv- calculates weak-instrument-robust tests of the coefficient(s) on the endogenous variable(s) in an instrumental variables (IV) estimation.  These tests include the Anderson-Rubin (AR) test, Kleibergen's K test, and Moreira's conditional likelihood ratio (CLR) test, and are available for linear IV, IV probit and IV tobit models.

The update extends -weakiv- so that it handles models with 1 or 2 endogenous regressors.  For models that have 2 endogenous regressors, -weakiv- has a graphics facility for reporting confidence sets using contour plots and 3-D surfaces (the latter using Adrian Mander's -surface- package, available from SSC).

-weakiv- can be installed via

	ssc install weakiv

Please note that (a) the new version of -weakiv- requires that -avar- (Baum-Schaffer, available from SSC) is installed; (b) for 3-D surfaces, Mander's -surface- package (available from SSC) needs to be installed; (c) for contour plots, Stata 12 or higher is required.

Keith Finlay
Leandro Magnusson
Mark Schaffer



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