COPYRIGHTS and provenance for the ivreg2r package ================================================== The ivreg2r package is released under GPL-3. This file records, component by component, what was adapted from where and on what basis it is redistributed. 1. Adapted code: the Stata ivreg2 suite --------------------------------------- ivreg2r is an R implementation of the Stata package ivreg2 by Christopher F. Baum, Mark E. Schaffer, and Steven Stillman, who are credited as contributors and copyright holders in the DESCRIPTION. The Stata ivreg2 suite is distributed under the GNU General Public License via the Statistical Software Components (SSC) archive at Boston College (https://ideas.repec.org/c/boc/bocode/s425401.html) and is described in: Baum, C.F., Schaffer, M.E., and Stillman, S. (2003). Instrumental variables and GMM: Estimation and testing. The Stata Journal 3(1), 1-31. Baum, C.F., Schaffer, M.E., and Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal 7(4), 465-506. The exact upstream versions consulted for this implementation: ivreg2.ado version 4.1.12, 14 Aug 2024 (authors cfb & mes) ivreg2_p.ado version 1.0.10, 30 Jul 2023 (author mes) ranktest.ado version 2.0.04, 21 Sep 2020 (authors mes & fw; Kleibergen-Paap statistic based on code by fk) livreg2.do version 1.2.01, 28 Jul 2015 (authors cfb & mes; shared Mata library) Which R source files adapt which upstream component (each file carries line-level citations at the adapted passages): R/ivreg2.R and estimation pipeline files ivreg2.ado (main estimation logic, defensive checks, option semantics) R/fit-gmm.R ivreg2.ado s_egmm/s_iegmm (two-step and CUE GMM) R/partial.R ivreg2.ado partialling-out block R/kernel.R livreg2.do s_vkernel/m_omega/m_calckw and ivreg2.ado (kernel weights, bandwidth validation) R/vcov-robust.R ivreg2.ado / livreg2.do m_omega (robust and cluster VCE) R/vcov-hac.R livreg2.do m_omega/m_calckw (HAC, AC, and cluster-kernel VCE) R/vcov-sw.R livreg2.do (Stock-Watson panel-robust VCE) R/reduced-form.R ivreg2.ado PostFirstRF (reduced-form equation) R/diagnostics-*.R ivreg2.ado diagnostic blocks and ranktest.ado (identification tests) 2. Stock-Yogo critical values ----------------------------- The weak-identification critical-value tables in R/sysdata.rda were transcribed from the s_cdsy() routine of livreg2.do version 1.2.01 (which itself encodes the published tables). Statistical source: Stock, J.H. and Yogo, M. (2005). Testing for weak instruments in linear IV regression. In D.W.K. Andrews and J.H. Stock (eds.), Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, ch. 5, 80-108. Cambridge University Press. 3. Bundled datasets ------------------- Source, distribution point, and CRAN redistribution precedent for each bundled dataset. Most derive from US federal statistics or public-use federal survey files (works of the US government are public domain, 17 U.S.C. 105); each is also redistributed by at least one GPL-licensed CRAN package, cited below. Full provenance detail per dataset lives in each dataset's help page (@source). Summary: card Card (1995), U. Toronto Press chapter; NLS Young Men extract. Distribution point: Boston College bcuse archive. CRAN GPL precedent: wooldridge::card. mroz Mroz (1987), Econometrica 55(4); PSID 1975 extract. Distribution point: Boston College bcuse archive. CRAN GPL precedent: wooldridge::mroz. griliches Griliches (1976), JPE 84(4); NLS extract, Hayashi (2000) instructional copy. Distribution point: http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta. CRAN GPL precedent: Ecdat::Griliches. phillips Wooldridge, Introductory Econometrics (Cengage); series from the Economic Report of the President (US government work). Distribution point: http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta. CRAN GPL precedent: wooldridge::phillips. stockwatson Stock and Watson (2003), Introduction to Econometrics (Addison-Wesley) companion data; underlying series are US federal statistics. Distribution point: http://fmwww.bc.edu/ec-p/data/stockwatson/macrodat.dta. CRAN GPL precedents: Ecdat::Macrodat and the AER Stock-Watson companions. wagepan Vella and Verbeek (1998), JAE 13(2); NLSY extract, popularized by Wooldridge (2010, MIT Press). Distribution point: Boston College bcuse archive. CRAN GPL precedent: wooldridge::wagepan. klein Klein (1950), Cowles Monograph 11; interwar US national accounts. Distribution point: Stata webuse klein. CRAN GPL precedent: AER::KleinI. grunfeld Grunfeld (1958); see Kleiber and Zeileis (2010), German Economic Review 11(4). Distribution point: Stata webuse grunfeld. CRAN GPL precedent: plm::Grunfeld. abdata Arellano and Bond (1991), ReStud 58(2) companion data. Distribution point: http://fmwww.bc.edu/ec-p/data/macro/abdata.dta. CRAN GPL precedent: plm::EmplUK. nlswork US Bureau of Labor Statistics, NLS Young Women (1968-1988); US government work, public domain. Distribution point: Stata webuse nlswork. cigar Baltagi and Levin (1992); Baltagi, Griffin and Xiong (2000). Distribution point: the GPL CRAN package plm (Cigar), which is also the precedent. No license is claimed from StataCorp for any dataset; the webuse/bcuse distribution points above identify the exact copies from which the bundled .rda files were built.