Using weakiv with ivreghdfe (ivreg2 based command)

[Roberto Amaral]

Hi, I would like to use the package and command weakiv with the ivreghdfe command. weakiv works with ivreg2, in which ivreghdfe is based. However, when I try using it I keep getting the error message "weakiv not supported for command ivreghdfe". Does anyone know a work around for this? Thanks!

[Andrew Musau]

ivreg2 is from SSC and ivreghdfe is from https://github.com/sergiocorreia/ivreghdfe (FAQ Advice #12). Go to weakiv.ado and add ivreghdfe as a legal command.

local cmd `1'
        local legalcmd  "ivregress ivreg2 ivreg2h xtivreg xtivreg2 ivprobit ivtobit xtabond2"
        local legal             : list cmd in legalcmd
        if `legal' {
                di as text "Estimating model for Wald tests using `cmd'..."
        }

Down the line, you may need to add a few more lines of code for ivreghdfe, but these should align exactly with the code for ivreg2. You have something like:

 if "`cmd'" == "ivreg2" { 
       something something something

and you'll need to add

 if "`cmd'" == "ivreghdfe" {
      [same something as ivreg2]  [same something as ivreg2] [same something as ivreg2]