st: -ivreg2- updated

[Kit Baum <baum@bc.edu>]

< >

The -ivreg2- routine of Baum, Schaffer, Stillman (most recently  
described in Stata Journal, 7(4), 2007) has been updated for an error  
in the automatic bandwidth selection routine. Thanks to Gareth  
Thomas' eagle eye for spotting it. Our computation was based on the  
formulas given in [R] ivregress, which were in turn based on a  
textbook that contains a typographical error (a constant of 1.1447,  
quoted by Newey and West, was mistyped as 1.4117 in the book). That  
error affects -ivregress- and -ivreg2-. -ivreg2- has now been  
corrected, so when using auto bandwidth selection, its results may  
differ slightly from those of -ivregress-. This only affects  
estimates using the bw(auto) option.

Once an ado-file update to -ivregress- has been released, we will  
recertify -ivreg2-, as we routinely do.

The corrected version is available from -ssc- or -adoupdate-.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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