GitHub - lsun20/TwoStep: 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 these methods and includes details for using twostepweakiv in Stata.

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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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Name		Name	Last commit message	Last commit date
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simulation_refined_projection		simulation_refined_projection
simulation_size_distortions		simulation_size_distortions
main.pdf		main.pdf
readme.txt		readme.txt
twostepweakiv.ado		twostepweakiv.ado
twostepweakiv.sthlp		twostepweakiv.sthlp
twostepweakiv_proof.pdf		twostepweakiv_proof.pdf

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Package name:  twostepweakiv

Title:  Implementing valid two-step identification-robust confidence sets for linear instrumental-variables models

Author 1 name:  Liyang Sun
Author 1 from:  Liyang Sun, Department of Economics, MIT, Cambridge, US
Author 1 email: lsun20@mit.edu

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Help keywords:  twostepweakiv

File list: twostepweakiv.ado twostepweakiv.sthlp 


Notes: 
To replicate the simulation results in Section 2, run the following in the same directory
1. weakiv_simulation_generate.do (outputs simulated datasets to ./monte_carlo_p1_data/)
2. weakiv_p1_rejection.do (outputs monte_carlo_p1_het_wald.dta)
3. rejection_curves.do
weakiv_simulation_generate.do generates random draws,weakiv_p1_rejection.do calculates test statistics, and rejection_curves.do plots the coverage curves using outputs from weakiv_p1_rejection.do.

To replicate the simulation results in Section 5, run the following in the same directory
1. Twostep_simulation_generate.do (outputs simulated datasets to ./monte_carlo_data/)
2. projection_2sls_power_strong.do (outputs monte_carlo_2sls_power_strong_het.xlsx)
3. projection_2sls_power_weak.do (outputs monte_carlo_2sls_power_weak_het.xlsx)
4. power_curves.do
Twostep_simulation_generate.do generates random draws, projection_2sls_power_xx.do calculates power, and power_curves.do plots the power curves using outputs from projection_2sls_power_xx.do (need to (un)comment the appropriate filename and norm local)