Helmut Farbmacher - Software



For further programs and codes please visit me on github.

Stata-package sivreg: (Adaptive) Lasso with some invalid instruments

References:
  • Windmeijer F., Farbmacher H., Davies N., Davey Smith G. (2016): On the use of the Lasso for instrumental variables estimation with some invalid instruments, Journal of the American Statistical Association, forthcoming.

  • Kang H., Zhang A., Cai T., Small D. (2016): Instrumental variables estimation with some invalid instruments and its application to mendelian randomization, Journal of the American Statistical Association, 111, 132-144.

(or type "ssc install sivreg" in Stata.)

Stata-package nwind: calculates Newey and Windmeijer's SE for the continuously updated estimator (CUE)

References:
  • Newey W.K. and Windmeijer F. (2009): Generalized method of moments with many weak moment conditions, Econometrica, 77(3), 687-719.

  • Farbmacher H. (2012): GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009), Journal of Applied Econometrics, 27(2), 343-346.

  • Farbmacher H., Burgess S., Davies N., Scholder S.v.H.K., Windmeijer F.: The many weak instrument problem and Mendelian randomization, Statistics in Medicine, 34(3), 454-468.

(or type "ssc install nwind" in Stata. Additional code is also available via JAE data archive.)

Stata-packages ztpflex, ztnbp and ztpnm: modules to estimate flexible zero-truncated Poisson regressions

References:
  • Farbmacher H. (2013): Extensions of hurdle models for overdispersed count data, Health Economics, 22(11), 1398-1404.

  • Dhaene G. and Santos Silva JMC (2012): Specification and testing of models estimated by quadrature, Journal of Applied Econometrics, 27(2), 322-332.

  • Farbmacher H. (2011): Estimation of hurdle models for overdispersed count data, Stata Journal, 11(1), 82-94.

  • Greene W. (2008): Functional forms for the negative binomial model for count data, Economics Letters, 99(3), 585-590.

(or type "ssc install ztpflex", "ssc install ztnbp" or "findit ztpnm" in Stata.)