Comprehensive instrumental variables and GMM estimation with automatic diagnostics, inspired by the 'Stata' command 'ivreg2' of Baum, Schaffer, and Stillman (2003) <doi:10.1177/1536867X0300300101> and Baum, Schaffer, and Stillman (2007) <doi:10.1177/1536867X0800700402>. Supports 2SLS, LIML, Fuller, k-class, two-step efficient GMM, and continuously-updated (CUE) estimators. Provides classical, robust, cluster-robust, HAC, and Driscoll-Kraay standard errors. Reports weak identification, underidentification, overidentification, and endogeneity tests at estimation time. All outputs are verified against 'Stata' within tight numerical tolerances.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.4.0) |
| Imports: | Formula, generics, stats, tibble |
| Suggests: | dplyr, ivreg, knitr, modelsummary, rmarkdown, sandwich, testthat (≥ 3.1.5), tidyr |
| Published: | 2026-07-21 |
| DOI: | 10.32614/CRAN.package.ivreg2r (may not be active yet) |
| Author: | Francis DiTraglia [aut, cre], Christopher F. Baum [ctb, cph] (Author of the Stata ivreg2 program from which ivreg2r is adapted), Mark E. Schaffer [ctb, cph] (Author of the Stata ivreg2 program from which ivreg2r is adapted), Steven Stillman [ctb, cph] (Author of the Stata ivreg2 program from which ivreg2r is adapted) |
| Maintainer: | Francis DiTraglia <francis.ditraglia at economics.ox.ac.uk> |
| BugReports: | https://github.com/restatr/ivreg2r/issues |
| License: | GPL-3 |
| Copyright: | Adapted from the Stata package 'ivreg2' by Christopher F
Baum, Mark E Schaffer, and Steven Stillman, distributed under
GPL-3. Component-level provenance for the adapted code and the
bundled datasets is in inst/COPYRIGHTS. ivreg2r copyright details |
| URL: | https://restatr.com/ivreg2r/, https://github.com/restatr/ivreg2r |
| NeedsCompilation: | no |
| Language: | en-US |
| Citation: | ivreg2r citation info |
| Materials: | README, NEWS |
| CRAN checks: | ivreg2r results |
| Reference manual: | ivreg2r.html , ivreg2r.pdf |
| Vignettes: |
Advanced IV Estimation with ivreg2r (source, R code) Instrumental Variables Estimation with ivreg2r (source, R code) Time Series IV, Panel VCE, and GMM (source, R code) |
| Package source: | ivreg2r_0.1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): ivreg2r_0.1.0.tgz, r-oldrel (arm64): ivreg2r_0.1.0.tgz, r-release (x86_64): ivreg2r_0.1.0.tgz, r-oldrel (x86_64): not available |
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