ivreg2r: Extended Instrumental Variables Estimation with Diagnostics

Comprehensive instrumental variables and generalized method of moments (GMM) estimation with automatic diagnostics, inspired by the 'Stata' command 'ivreg2' of Baum, Schaffer, and Stillman (2003) doi:10.1177/1536867X0300300101 and Baum, Schaffer, and Stillman (2007) doi:10.1177/1536867X0800700402 . Supports two-stage least squares (2SLS), limited information maximum likelihood (LIML), Fuller, k-class, two-step efficient GMM, and continuously updated (CUE) estimators. Provides classical, robust, cluster-robust, heteroskedasticity- and autocorrelation-consistent (HAC), and Driscoll-Kraay standard errors. Reports weak identification, underidentification, overidentification, and endogeneity tests at estimation time. All outputs are verified against 'Stata' within tight numerical tolerances.

See also

Useful links:

• https://restatr.com/ivreg2r/

• https://github.com/restatr/ivreg2r

• Report bugs at https://github.com/restatr/ivreg2r/issues

Author

Maintainer: Francis DiTraglia francis.ditraglia@economics.ox.ac.uk

Authors:

• Francis DiTraglia francis.ditraglia@economics.ox.ac.uk

Other contributors:

• Christopher F. Baum (Author of the Stata ivreg2 program from which ivreg2r is adapted) [contributor, copyright holder]

• Mark E. Schaffer (Author of the Stata ivreg2 program from which ivreg2r is adapted) [contributor, copyright holder]

• Steven Stillman (Author of the Stata ivreg2 program from which ivreg2r is adapted) [contributor, copyright holder]