st: new on ssc - avar

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

A new package, avar, is now available from SSC. avar is part of the ivreg2 suite of IV/GMM routines.

avar estimates the asymptotic variance S of (1/N)*Z'e, where Z is an NxL matrix of L variables, e is an Nxp matrix of p variables, and N is the sample size. Typically, S would be used to form a sandwich-type estimate of the variance of an estimator, where Z is a varlist of regressors or instruments, e is a varlist of residuals from one or more equations, and S is the "filling" of the sandwich variance estimator.

avar uses the same Mata library as ivreg2, ranktest, et al., and in effect provides a user-friendly front-end to the Mata routines used by these programs to calculate variants of S for single and multiple equations that are robust to various violations of the iid assumption, including heteroskedasticity, autocorrelation, 1- and 2-way clustering, common cross-panel disturbances, etc.  avar supports time-series and panel data.

Note: in its current implementation, avar uses listwise deletion.  This means it will use only observations for which there are no missing values in any of the variables in Z or e (similar to the behaviour of Stata's sureg).

Kit Baum
Mark Schaffer



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