Stata Iv Robustness

/stata-iv-robustness — Full IV Endogeneity Robustness Suite

Runs three steps in sequence and extracts all coefficients for table building:

1. First-stage OLS: endogenous variable ~ instruments + controls; reports joint F-test
2. 2SLS + Wu-Hausman: ivregress 2sls + estat endogenous for exogeneity test
3. IV-Probit (twostep): ivprobit for binary DV; estat endogenous for Wald test

When to use

• Reviewer asks "is your main IV endogenous?"
• You want to add an IV section to the appendix
• DV is binary (logit/probit context)

Critical pitfalls (learned from BG Divestment project)

Stata template

* iv_suite.do
log using "PATH/iv_suite.log", replace text
use "PATH/CHECKPOINT.dta", clear

* ── Coefficient extraction program ────────────────────────────────────────────
capture program drop printcoef
program printcoef
    args vname label
    capture local b = _b[`vname']
    if _rc != 0 {
        di "MISSING|`label'|.|.|."
        exit
    }
    local se = _se[`vname']
    local z  = `b' / `se'
    local p  = 2 * (1 - normal(abs(`z')))
    di "COEF|`label'|`b'|`se'|`p'"
end

* ── Step 1: First-stage OLS ────────────────────────────────────────────────────
di "===FIRSTSTAGE==="
reg ENDOG_VAR INSTRUMENT1 INSTRUMENT2 CONTROLS i.year i.industry_fe, vce(robust)
di "N=" e(N) " R2=" e(r2)
test INSTRUMENT1 INSTRUMENT2        // joint F on excluded instruments
di "F_instruments=" r(F) " p=" r(p)
printcoef INSTRUMENT1 "Instrument 1 label"
printcoef INSTRUMENT2 "Instrument 2 label"
printcoef CONTROL1    "Control 1 label"
* [repeat for all controls]

* ── Step 2: 2SLS + Wu-Hausman ───────────────────────────────────────────────────
di "===2SLS==="
ivregress 2sls DEPVAR (ENDOG_VAR = INSTRUMENT1 INSTRUMENT2) ///
    CONTROLS i.year i.industry_fe, vce(robust)
di "N=" e(N)
estat endogenous
di "WuHausman above"

* ── Step 3: IV-Probit (twostep) — no vce(robust) allowed ────────────────────────
di "===IVPROBIT==="
ivprobit DEPVAR (ENDOG_VAR = INSTRUMENT1 INSTRUMENT2) ///
    CONTROLS i.year i.industry_fe, twostep
di "N=" e(N)
printcoef ENDOG_VAR "Main IV (instrumented)"
* [repeat for all controls]
estat endogenous
di "Wald exogeneity above"

di "===DONE==="
log close

Parsing the log for coefficients

After running, extract COEF lines:

grep "COEF\|===\|N=\|F_\|WuHausman\|Wald\|endogenous" iv_suite.log

Output format: COEF|label|b|se|p

Use these values to populate the FS_ROWS and IVP_ROWS dicts in your Word table python script.

Instrument validity checklist

• First-stage F > 10 (ideally > 100) → instrument relevance
• Wu-Hausman p > 0.05 → consistent with exogeneity
• IV-probit Wald test p > 0.05 → consistent with exogeneity
• N drop between main model and IV model → check if due to missing instrument lags
• Instruments are lagged (t-2, t-3) → temporal separation from DV

Stata executable

/Applications/StataNow/StataMP.app/Contents/MacOS/stata-mp