What's New in Stata 10: Endogenous variables
- ivregress replaces ivreg for single equation instrumental
variables regression.
- In addition to allowing estimation by two-stage least squares
the new ivregress allows estimation by generalized method
of moments (GMM) and limited-information maximum likelihood (LIML).
- Jackknife, bootstrap, and heteroskedasticity- and autocorrelation-
consistent standard errors are available (in addition to robust and cluster
robust standard errors)
- ivregress also has improved postestimation commands.
- estat firstage allows the user to examine the relevance
of the instrumental variables, including tests for weak instruments.
- estat overid provides tests of overidentifying assumptions. For
each estimation method an appropriate test is used.
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