twostepweakiv is a Stata module that implements two-step weak-instrument-robust confidence sets based on Andrews (2018) and refined projection method for subvector inference based on Chaudhuri and Zivot (2011) for linear instrumental-variable (IV) models. There is an accompanying Stata Journal article (Sun, 2018) that provides an overview on the…
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Updated
Jan 3, 2019 - Stata