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Many instruments: Implementation in Stata
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DOI：10.1177/1536867X19893627.png)
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Abstract
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In recent decades, econometric tools for handling instrumental-variable regressions characterized by many instruments have been developed. We introduce a command, mivreg, that implements consistent estimation and testing in linear instrumental-variables regressions with many (possibly weak) instruments. mivreg covers both homoskedastic and heteroskedastic environments, estimators that are both nonrobust and robust to error nonnormality and projection matrix limit, and parameter tests and specification tests both with and without correction for existence of moments. We also run a small simulation experiment using mivreg and illustrate how mivreg works with real data.
Keywords:
st0580
mivreg
instrumental-variables regression
many instruments
limited information maximum likelihood
Fuller correction
robust standard errors
specification testing
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