最近几十年里，已经发展了用于处理以许多工具变量为特征的工具变量回归的计量经济学工具。我们引入一个命令mivreg，它使用许多(可能是弱的)工具变量在线性工具变量回归中实现一致的估计和检验。mivreg涵盖了同方差和异方差环境，对误差非正态性和投影矩阵极限具有非稳健和稳健的估计量，以及无论修正矩是否存在的参数检验和设定检验。我们还使用mivreg运行了一个小型模拟实验，并演示了mivreg如何与真实数据一起工作。

Many instruments: Implementation in Stata

Stanislav Anatolyev (sanatoly@nes.ru) and Alena Skolkova (alena.skolkova@cerge-ei.cz)
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Stata Journal, 2019, vol. 19, issue 4, 849-866

Abstract: In recent decades, econometric tools for handling instrumental-variable regressions characterized by many instruments have been developed. We introduce a command, mivreg, that implements consistent estimation and testing in linear instrumental-variables regressions with many (possibly weak) instruments. mivreg covers both homoskedastic and heteroskedastic environments, estimators that are both nonrobust and robust to error nonnormality and projection matrix limit, and parameter tests and specification tests both with and without correction for existence of moments. We also run a small simulation experiment using mivreg and illustrate how mivreg works with real data.

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