Anderson-Ruben confidence intervals with ivreghdfe

[Shreya Mathur]

Hi,

I'm trying to report anderson-ruben confidence intervals in specifications which use ivreghdfe. The intervals can be reported with weakivtest but weakivtest does not seem to work with ivreghdfe. Does anyone have a workaround?

Thank you!

[Andrew Musau]

weakivtest and ivreghdfe are from SSC (FAQ Advice #12). As ivreghdfe is based on ivreg2 (also from SSC), I think all you need to do is to change the following lines in the ado-file:

*weakivtest is a postestimation command to ivreg2 or ivregress; otherwise display error message.
if `"`e(cmd)'"' != "ivreg2" & `"`e(cmd)'"' != "ivregress" {
di as err `"Weakivtest is a postestimation command after running ivreg2 or ivregress."'
exit
}

to

 *weakivtest is a postestimation command to ivreg2 or ivregress; otherwise display error message.
        if `"`e(cmd)'"' != "ivreg2" & `"`e(cmd)'"' != "ivregress" & `"`e(cmd)'"' != "ivreghdfe" {
                di as err `"Weakivtest is a postestimation command after running ivreg2, ivregress or ivreghdfe."'
                exit
        }

save the file and proceed.