*! version 1.1.1 16mar2021
*! Sebastian Kripfganz, www.kripfganz.de
*! Jan F. Kiviet, sites.google.com/site/homepagejfk/
*==================================================*
****** Kinky least squares estimation ******
*** citation ***
/* Kripfganz, S., and J. F. Kiviet. 2021.
kinkyreg: Instrument-free inference for linear regression models with endogenous regressors.
Accepted for publication in the Stata Journal. */
*** version history at the end of the file ***
program define kinkyreg, eclass
version 13.0
if replay() {
if "`e(cmd)'" != "kinkyreg" {
error 301
}
kinkyreg_parse_display `0'
loc diopts `"`s(diopts)'"'
loc 0 `", `s(options)'"'
syntax , [CORRelation(numlist max=1 >=-1 <=1)]
if "`correlation'" != "" {
if `correlation' < e(grid_min) | `correlation' > e(grid_max) {
di as err "correlation() invalid -- invalid number, outside of allowed range"
exit 125
}
loc N_grid = rowsof(e(b_kls))
forv g = 1 / `N_grid' {
loc corr = e(grid_min) + (`g' - 1) * e(grid_step)
if abs(`correlation' - `corr') <= e(grid_step) / 2 {
tempname b V
mat `b' = e(b_kls)
mat `b' = `b'[`g', 1..`= colsof(`b')']
cap conf mat e(V_`g')
if _rc {
error 301
}
mat `V' = e(V_`g')
eret repost b = `b' V = `V', resize
eret sca corr = `corr'
continue, br
}
}
}
kinkyreg_display , `diopts'
}
else {
syntax anything(id="varlist" equalok) [if] [in] [, *]
kinkyreg_parse_display , `options'
loc diopts `"`s(diopts)'"'
loc level "`s(level)'"
kinkyreg_init , `s(options)'
loc mopt "`s(mopt)'"
kinkyreg_kls `anything' `if' `in', mopt(`mopt') `level' `s(options)'
eret loc predict "kinkyreg_p"
eret loc estat_cmd "kinkyreg_estat"
eret loc cmdline `"kinkyreg `0'"'
eret loc cmd "kinkyreg"
// eret hidden loc mopt "`mopt'" // undocumented
kinkyreg_display , `diopts'
}
end
program define kinkyreg_kls, eclass
version 13.0
syntax anything(id="varlist" equalok) [if] [in] , MOPT(name) [ noCONStant ///
CONTrols(varlist num ts fv) ///
ENDOgeneity(numlist miss >=-1) ///
Range(numlist min=2 max=2 >=-1 <=1) ///
STEPsize(real 0.01) ///
EKurtosis(numlist max=1 >=1) ///
XKurtosis(numlist max=1 >=1) ///
SMall ///
INference(varlist num ts fv) ///
CORRelation(numlist max=1 >=-1 <=1) ///
Level(cilevel) ///
NAMEstub(name) ///
noGRaph ///
noVSTORE ///
IVPERfect ///
*] // parsed separately: LINCOM() TWoway() COEFPlot() CIPlot()
kinkyreg_parse_varlist `anything'
if `: word count `s(endovars)'' < 1 {
di as err "too few endogenous variables specified"
exit 102
}
loc 0 `"`s(depvar)' `s(exovars)' `if' `in', endovars(`s(endovars)') ivvars(`s(ivvars)') `options'"'
syntax varlist(num fv ts) [if] [in], [ENDOvars(varlist num fv ts) IVvars(varlist num fv ts) *]
loc fv = ("`s(fvops)'" == "true")
if `fv' {
fvexpand `varlist'
loc varlist "`r(varlist)'"
}
marksample touse
markout `touse' `endovars' `ivvars'
gettoken depvar exovars : varlist
sum `touse', mean
if r(sum) == 0 {
error 2000
}
if `fv' {
_fv_check_depvar `depvar'
// fvrevar `endovars' `exovars'
}
_rmdcoll `depvar' `exovars' if `touse', `constant'
loc exovars "`r(varlist)'"
if "`controls'" != "" {
_rmdcoll `depvar' `controls' if `touse', `constant'
loc controls "`r(varlist)'"
}
_rmdcoll `depvar' `endovars' if `touse', `constant'
if r(k_omitted) {
di as err "collinearity among endogenous variables"
exit 459
}
foreach endovar in `endovars' {
_rmdcoll `endovar' `exovars' `controls' if `touse', `constant'
}
mata: kinkyreg_init_touse(`mopt', "`touse'") // marker variable
tsrevar `depvar'
mata: kinkyreg_init_depvar(`mopt', "`r(varlist)'") // dependent variable
mata: kinkyreg_init_indepvars(`mopt', 1, "`endovars'") // endogenous independent variables
mata: kinkyreg_init_indepvars(`mopt', 2, "`exovars'") // exogenous independent and instrumental variables
if "`controls'" != "" {
mata: kinkyreg_init_indepvars(`mopt', 3, "`controls'") // partialled-out exogenous independent variables
}
loc regnames "`endovars' `exovars' `controls'"
if "`constant'" != "" {
mata: kinkyreg_init_cons(`mopt', "off") // constant term
}
else {
loc regnames "`regnames' _cons"
}
loc K : word count `regnames'
*--------------------------------------------------*
*** endogeneity correlations ***
loc K_endo : word count `endovars'
if "`endogeneity'" != "" {
if `: word count `endogeneity'' < `K_endo' {
di as err "endogeneity() invalid -- invalid numlist has too few elements"
exit 122
}
if `: word count `endogeneity'' > `K_endo' {
di as err "endogeneity() invalid -- invalid numlist has too many elements"
exit 123
}
tempname endocorr
loc corrmiss = 0
forv k = 1 / `K_endo' {
loc corr : word `k' of `endogeneity'
if `corr' > 1 & `corr' < . {
di as err "endogeneity() invalid -- invalid numlist has elements outside of allowed range"
exit 125
}
if `corr' >= . {
if `corrmiss' {
di as err "endogeneity() invalid -- invalid numlist has too many missing values"
exit 121
}
loc klsvar "`: word `k' of `endovars''"
loc ++corrmiss
}
mat `endocorr' = (nullmat(`endocorr'), `corr')
}
if !`corrmiss' {
di as err "endogeneity() invalid -- invalid numlist has no missing value"
exit 121
}
mat coln `endocorr' = `endovars'
mata: kinkyreg_init_corr(`mopt', st_matrix("`endocorr'"))
}
else if `K_endo' > 1 {
di as err "option endogeneity() required"
exit 198
}
else {
loc klsvar "`endovars'"
mata: kinkyreg_init_corr(`mopt', .)
}
if "`range'" != "" {
gettoken rangemin rangemax : range
if `rangemax' < `rangemin' {
di as err "range() invalid -- invalid numlist has elements out of order"
exit 124
}
if `stepsize' <= epsfloat() {
di as err "stepsize() invalid -- invalid number, outside of allowed range"
exit 125
}
}
else {
loc rangemin = -1
loc rangemax = 1
}
mata: kinkyreg_init_grid(`mopt', (`rangemin', `stepsize', `rangemax'))
if "`correlation'" != "" {
if `correlation' < `rangemin' | `correlation' > `rangemax' {
di as err "correlation() invalid -- invalid number, outside of allowed range"
exit 125
}
}
else {
loc correlation = .
}
*--------------------------------------------------*
*** linear combinations ***
kinkyreg_parse_lincom , `options'
loc options `"`s(options)'"'
while `"`s(lincom)'"' != "" {
loc lincomnums "`lincomnums' `s(lincomnum)'"
loc lincom`s(lincomnum)' `"`s(lincom)'"'
kinkyreg_parse_lincom , `options'
loc options `"`s(options)'"'
}
if "`lincomnums'" != "" {
tempname b_lincom C_lincom
mat `b_lincom' = J(1, `K', 0)
mat coln `b_lincom' = `regnames'
eret post `b_lincom'
foreach lincomnum of num `lincomnums' {
cons free
loc cons`lincomnum' = `r(free)'
cons de `cons`lincomnum'' `lincom`lincomnum'' = 0
loc consnums "`consnums' `cons`lincomnum''"
}
makecns `consnums', nocnsnote
if "`r(clist)'" != "`: list retok consnums'" {
cons drop `consnums''
di as err "option lincom() incorrectly specified"
exit 198
}
tempname aux1 aux2 C_lincom
cap matcproc `aux1' `aux2' `C_lincom'
mata: kinkyreg_init_lincom(`mopt', st_matrix("`C_lincom'"))
if _rc {
mat drop `C_lincom'
}
else {
mat drop `aux1' `aux2' `C_lincom'
}
cons drop `consnums'
}
*--------------------------------------------------*
*** kurtosis ***
if "`ekurtosis'" != "" {
mata: kinkyreg_init_ekurt(`mopt', `ekurtosis')
}
if "`xkurtosis'" != "" {
mata: kinkyreg_init_xkurt(`mopt', `xkurtosis')
}
*--------------------------------------------------*
*** graph options ***
if "`inference'" == "" & "`lincomnums'" == "" {
loc inference "`endovars'"
}
else if !`: list inference in regnames' {
di as err "option inference() incorrectly specified - `: list inference - regnames' not found"
exit 198
}
while `"`options'"' != "" {
kinkyreg_parse_options `inference' `lincomnums', `options'
loc optname "`s(varname)'"
_ms_parse_parts `optname'
if "`r(type)'" != "variable" | "`r(op)'" != "" {
loc optname : subinstr loc optname "." "_", all
loc optname : subinstr loc optname "#" "_", all
}
if `"`s(twopt)'"' != "" {
loc twopt_`optname' `"`twopt_`optname'' `s(twopt)'"'
loc order_`optname' "`s(order)'"
}
if `"`s(twname)'"' != "" {
loc twname_`optname' `"`s(twname)'"'
}
if `"`s(addplot)'"' != "" {
loc addplot_`optname' `"`s(addplot)'"'
if "`s(before)'" != "" {
loc addplot_before_`optname' "`s(before)'"
}
}
if "`s(yrange)'" != "" {
loc twrange_`optname' "`s(yrange)'"
}
if `"`s(coefopt)'"' != "" {
loc coefopt_`s(estimator)'_`optname' `"`coefopt_`s(estimator)'_`optname'' `s(coefopt)'"'
}
else if `"`s(ciopt)'"' != "" {
loc ciopt_`s(estimator)'_`optname' `"`ciopt_`s(estimator)'_`optname'' `s(ciopt)'"'
}
loc options `"`s(options)'"'
}
if "`namestub'" == "" {
loc namestub "kinkyreg"
}
*--------------------------------------------------*
*** IV estimation ***
loc K_iv : word count `ivvars'
if `K_iv' {
if "`ivperfect'" != "" {
loc ivperfect "perfect"
}
tempname b_iv se_iv
qui ivregress 2sls `depvar' (`endovars' = `ivvars') `exovars' `controls' if `touse', `constant' `ivperfect' `small' l(`level')
mat `b_iv' = e(b)
mat `se_iv' = vecdiag(e(V))
mata: st_replacematrix("`se_iv'", sqrt(st_matrix("`se_iv'")))
tempname mopt_iv
if "`lincomnums'" != "" {
foreach lincomnum of num `lincomnums' {
qui lincom `lincom`lincomnum''
loc b_iv_lincom`lincomnum' = r(estimate)
loc se_iv_lincom`lincomnum' = r(se)
}
}
}
*--------------------------------------------------*
*** KLS estimation ***
mata: kinkyreg(`mopt')
mata: st_numscalar("r(N)", kinkyreg_result_N(`mopt'))
mata: st_numscalar("r(xkurtosis)", kinkyreg_result_xkurt(`mopt'))
loc N = r(N)
loc xkurtosis = r(xkurtosis)
if `correlation' < . {
tempname b V
}
tempname sigma2 ekurtosis b_kls se_kls
if "`lincomnums'" != "" {
tempname b_kls_lincom se_kls_lincom
}
mata: st_numscalar("r(N_grid)", kinkyreg_result_gridpoints(`mopt'))
loc N_grid = r(N_grid)
loc rank = 0
loc miss = 0
loc j = 1
forv g = 1 / `N_grid' {
mata: st_numscalar("r(rank)", kinkyreg_result_rank(`mopt', `g'))
mata: st_numscalar("r(sigma2)", kinkyreg_result_sigma2(`mopt', `g'))
mata: st_numscalar("r(ekurtosis)", kinkyreg_result_ekurt(`mopt', `g'))
mata: st_matrix("r(b)", kinkyreg_result_coefs(`mopt', `g'))
mata: st_matrix("r(V)", kinkyreg_result_V(`mopt', `g'))
mata: st_matrix("r(corr)", kinkyreg_result_corr(`mopt', `g'))
if missing(el(r(b), 1, 1)) {
loc ++miss
if "`gid'" == "" {
loc rangemin = `rangemin' + `stepsize'
}
continue
}
loc corr = el(r(corr), 1, 1)
if missing(`correlation') {
loc rank = max(`rank', r(rank))
}
else if abs(`correlation' - `corr') <= `stepsize' / 2 {
loc correlation = `corr'
mat `b' = r(b)
mat `V' = r(V)
loc rank = r(rank)
if "`small'" != "" {
mat `V' = `N' / (`N' - `rank') * `V'
}
mat coln `b' = `regnames'
mat rown `V' = `regnames'
mat coln `V' = `regnames'
}
if "`vstore'" == "" {
tempname V`j'
mat `V`j'' = r(V)
if "`small'" != "" {
mat `V`j'' = `N' / (`N' - `rank') * `V`j''
}
mat rown `V`j'' = `regnames'
mat coln `V`j'' = `regnames'
}
mat `b_kls' = (nullmat(`b_kls') \ r(b))
if "`small'" == "" {
mat `se_kls' = (nullmat(`se_kls') \ vecdiag(r(V)))
}
else {
mat `se_kls' = (nullmat(`se_kls') \ `N' / (`N' - r(rank)) * vecdiag(r(V)))
}
if "`lincomnums'" != "" {
mata: st_matrix("r(b_lincom)", kinkyreg_result_lincom_coefs(`mopt', `g'))
mata: st_matrix("r(V_lincom)", kinkyreg_result_lincom_V(`mopt', `g'))
mat `b_kls_lincom' = (nullmat(`b_kls_lincom') \ r(b_lincom))
if "`small'" == "" {
mat `se_kls_lincom' = (nullmat(`se_kls_lincom') \ vecdiag(r(V_lincom)))
}
else {
mat `se_kls_lincom' = (nullmat(`se_kls_lincom') \ `N' / (`N' - r(rank)) * vecdiag(r(V_lincom)))
}
}
mat `sigma2' = (nullmat(`sigma2') \ r(sigma2))
mat `ekurtosis' = (nullmat(`ekurtosis') \ r(ekurtosis))
if c(stata_version) < 14 {
loc gid "`gid' `j'"
}
else {
loc gid "`gid' `: di %5.4f `corr''"
}
loc ++j
}
loc N_grid = `N_grid' - `miss'
loc rangemax = `corr'
mata: st_replacematrix("`se_kls'", sqrt(st_matrix("`se_kls'")))
mat rown `b_kls' = `gid'
mat coln `b_kls' = `regnames'
mat rown `se_kls' = `gid'
mat coln `se_kls' = `regnames'
if "`small'" == "" {
loc critval = invnormal((100 + `level') / 200)
}
else {
loc critval = invt(`N' - `rank', (100 + `level') / 200)
}
tempname ciub_kls cilb_kls
mata: st_matrix("`ciub_kls'", st_matrix("`b_kls'") + `critval' * st_matrix("`se_kls'"))
mata: st_matrix("`cilb_kls'", st_matrix("`b_kls'") - `critval' * st_matrix("`se_kls'"))
mat rown `ciub_kls' = `gid'
mat coln `ciub_kls' = `regnames'
mat rown `cilb_kls' = `gid'
mat coln `cilb_kls' = `regnames'
if "`lincomnums'" != "" {
mata: st_replacematrix("`se_kls_lincom'", sqrt(st_matrix("`se_kls_lincom'")))
mat rown `b_kls_lincom' = `gid'
mat coln `b_kls_lincom' = `lincomnums'
mat rown `se_kls_lincom' = `gid'
mat coln `se_kls_lincom' = `lincomnums'
tempname ciub_kls_lincom cilb_kls_lincom
mata: st_matrix("`ciub_kls_lincom'", st_matrix("`b_kls_lincom'") + `critval' * st_matrix("`se_kls_lincom'"))
mata: st_matrix("`cilb_kls_lincom'", st_matrix("`b_kls_lincom'") - `critval' * st_matrix("`se_kls_lincom'"))
mat rown `ciub_kls_lincom' = `gid'
mat coln `ciub_kls_lincom' = `lincomnums'
mat rown `cilb_kls_lincom' = `gid'
mat coln `cilb_kls_lincom' = `lincomnums'
}
mat rown `sigma2' = `gid'
mat rown `ekurtosis' = `gid'
*--------------------------------------------------*
*** KLS graphs ***
if "`graph'" == "" {
tempvar gridrange b1_kls b1_ukls b1_lkls
qui gen `gridrange' = `rangemin' + (_n - 1) * `stepsize' in 1 / `N_grid'
la var `gridrange' "postulated endogeneity of `klsvar'"
qui gen double `b1_kls' = .
la var `b1_kls' "KLS estimate"
qui gen double `b1_ukls' = .
la var `b1_ukls' "KLS >=`level'% CI"
qui gen double `b1_lkls' = .
la var `b1_lkls' "KLS >=`level'% CI"
if "`inference'" != "" {
foreach var in `inference' {
loc varpos : list posof "`var'" in regnames
loc varname "`var'"
_ms_parse_parts `var'
if "`r(type)'" != "variable" | "`r(op)'" != "" {
loc var : subinstr loc var "." "_", all
loc var : subinstr loc var "#" "_", all
}
if "`twrange_'" != "" & "`twrange_`var''" == "" {
loc twrange_`var' "`twrange_'"
}
if "`twrange_`var''" != "" {
loc twif_`var' "if inrange(`b1_ukls', `twrange_`var'') & inrange(`b1_lkls', `twrange_`var'')"
}
mata: st_store((1, `N_grid'), "`b1_kls'", st_matrix("`b_kls'")[., `varpos'])
mata: st_store((1, `N_grid'), "`b1_ukls'", st_matrix("`ciub_kls'")[., `varpos'])
mata: st_store((1, `N_grid'), "`b1_lkls'", st_matrix("`cilb_kls'")[., `varpos'])
loc tw_kls "line `b1_kls' `gridrange' `twif_`var'', `coefopt_kls_' `coefopt_kls_`var''"
loc tw_kls_ci "rarea `b1_ukls' `b1_lkls' `gridrange' `twif_`var'', asty(ci) `ciopt_kls_' `ciopt_kls_`var''"
if `K_iv' {
tempvar b1_iv b1_uiv b1_liv
qui gen double `b1_iv' = el(`b_iv', 1, `varpos') in 1 / `N_grid'
la var `b1_iv' "IV estimate"
qui gen double `b1_uiv' = el(`b_iv', 1, `varpos') + `critval' * el(`se_iv', 1, `varpos') in 1 / `N_grid'
la var `b1_uiv' "IV `level'% CI"
qui gen double `b1_liv' = el(`b_iv', 1, `varpos') - `critval' * el(`se_iv', 1, `varpos') in 1 / `N_grid'
la var `b1_liv' "IV `level'% CI"
if "`twrange_`var''" == "" {
loc twif_`var' "if `b1_kls' < ."
}
else {
loc twif_`var' "if inrange(`b1_uiv', `twrange_`var'') & inrange(`b1_liv', `twrange_`var'') & `b1_kls' < ."
}
loc tw_iv "line `b1_iv' `gridrange' `twif_`var'', `coefopt_iv_' `coefopt_iv_`var''"
loc tw_iv_ci "rarea `b1_uiv' `b1_liv' `gridrange' `twif_`var'', asty(ci2) `ciopt_iv_' `ciopt_iv_`var''"
}
if `"`twname_`var''"' == "" {
loc twname_`var' "name(`namestub'_`var', replace)"
}
if "`order_`var''" == "" {
loc order_`var' = cond("`order_'" == "", "iv_ci kls_ci iv kls", "`order_'")
}
loc tw ""
foreach twplot in `order_`var'' {
if "`addplot_before_'" == "`twplot'" | "`addplot_before_`var''" == "`twplot'" {
loc tw `"`tw' `addplot_' || `addplot_`var'' ||"'
}
loc tw `"`tw' `tw_`twplot'' ||"'
}
if "`addplot_'" != "" & "`addplot_before_'" == "" {
loc tw `"`tw' `addplot_' ||"'
}
if "`addplot_`var''" != "" & "`addplot_before_`var''" == "" {
loc tw `"`tw' `addplot_`var'' ||"'
}
tw `tw', yti("`varname' coefficient estimate") `twopt_' `twopt_`var'' `twname_`var''
}
}
if "`lincomnums'" != "" {
loc j = 0
foreach lincomnum of num `lincomnums' {
loc ++j
if "`twrange_'" != "" & "`twrange_`lincomnum''" == "" {
loc twrange_`lincomnum' "`twrange_'"
}
if "`twrange_`lincomnum''" != "" {
loc twif_`lincomnum' "if inrange(`b1_ukls', `twrange_`lincomnum'') & inrange(`b1_lkls', `twrange_`lincomnum'')"
}
mata: st_store((1, `N_grid'), "`b1_kls'", st_matrix("`b_kls_lincom'")[., `j'])
mata: st_store((1, `N_grid'), "`b1_ukls'", st_matrix("`ciub_kls_lincom'")[., `j'])
mata: st_store((1, `N_grid'), "`b1_lkls'", st_matrix("`cilb_kls_lincom'")[., `j'])
loc tw_kls "line `b1_kls' `gridrange' `twif_`lincomnum'', `coefopt_kls_' `coefopt_kls_`lincomnum''"
loc tw_kls_ci "rarea `b1_ukls' `b1_lkls' `gridrange' `twif_`lincomnum'', asty(ci) `ciopt_kls_' `ciopt_kls_`lincomnum''"
if `K_iv' {
tempvar b1_iv b1_uiv b1_liv
qui gen double `b1_iv' = `b_iv_lincom`lincomnum'' in 1 / `N_grid'
la var `b1_iv' "IV estimate"
qui gen double `b1_uiv' = `b_iv_lincom`lincomnum'' + `critval' * `se_iv_lincom`lincomnum'' in 1 / `N_grid'
la var `b1_uiv' "IV `level'% CI"
qui gen double `b1_liv' = `b_iv_lincom`lincomnum'' - `critval' * `se_iv_lincom`lincomnum'' in 1 / `N_grid'
la var `b1_liv' "IV `level'% CI"
if "`twrange_`lincomnum''" == "" {
loc twif_`lincomnum' "if `b1_kls' < ."
}
else {
loc twif_`lincomnum' "if inrange(`b1_uiv', `twrange_`lincomnum'') & inrange(`b1_liv', `twrange_`lincomnum'') & `b1_kls' < ."
}
loc tw_iv "line `b1_iv' `gridrange' `twif_`lincomnum'', `coefopt_iv_' `coefopt_iv_`lincomnum''"
loc tw_iv_ci "rarea `b1_uiv' `b1_liv' `gridrange' `twif_`lincomnum'', asty(ci2) `ciopt_iv_' `ciopt_iv_`lincomnum''"
}
if `"`twname_`lincomnum''"' == "" {
loc twname_`lincomnum' "name(`namestub'_`lincomnum', replace)"
}
if "`order_`lincomnum''" == "" {
loc order_`lincomnum' = cond("`order_'" == "", "iv_ci kls_ci iv kls", "`order_'")
}
loc tw ""
foreach twplot in `order_`lincomnum'' {
if "`addplot_before_`lincomnum''" == "`twplot'" {
loc tw `"`tw' `addplot_`lincomnum'' ||"'
}
loc tw `"`tw' `tw_`twplot'' ||"'
}
if "`addplot_`lincomnum''" != "" & "`addplot_before_`lincomnum''" == "" {
loc tw `"`tw' `addplot_`lincomnum'' ||"'
}
tw `tw', yti("lincom `lincomnum' estimate") `twopt_' `twopt_`lincomnum'' `twname_`lincomnum''
}
}
}
*--------------------------------------------------*
*** current estimation results ***
if "`small'" != "" {
loc small "dof(`= `N' - `rank'')"
}
if `fv' {
loc fvopt "buildfv"
}
if `correlation' < . {
eret post `b' `V', dep(`depvar') o(`N') `small' e(`touse') `fvopt' findomitted
}
else {
eret post, dep(`depvar') o(`N') `small' e(`touse')
}
eret sca rank = `rank'
eret sca xkurtosis = `xkurtosis'
eret sca grid_min = `rangemin'
eret sca grid_max = `rangemax'
eret sca grid_step = `stepsize'
if `correlation' < . {
eret sca corr = `correlation'
}
eret loc namestub "`namestub'"
if "`constant'" == "" {
loc controls "`controls' _cons"
}
eret loc ivvars "`ivvars'"
eret loc controls "`: list retok controls'" // undocumented
eret loc exovars "`: list retok exovars'"
eret loc endovars "`endovars'"
eret loc klsvar "`klsvar'"
eret mat ekurtosis = `ekurtosis'
eret mat sigma2e = `sigma2'
if `K_endo' > 1 {
eret mat endogeneity = `endocorr'
}
if "`lincomnums'" != "" {
eret mat cilb_kls_lincom = `cilb_kls_lincom'
eret mat ciub_kls_lincom = `ciub_kls_lincom'
eret mat se_kls_lincom = `se_kls_lincom'
eret mat b_kls_lincom = `b_kls_lincom'
}
eret mat cilb_kls = `cilb_kls'
eret mat ciub_kls = `ciub_kls'
eret mat se_kls = `se_kls'
eret mat b_kls = `b_kls'
*--------------------------------------------------*
*** hidden estimation results ***
if "`vstore'" == "" {
forv g = 1 / `N_grid' {
eret hidden mat V_`g' = `V`g''
}
}
end
*==================================================*
**** display of estimation results ****
program define kinkyreg_display
version 13.0
syntax [, noOMITted noHEader noTABle *]
if "`header'" == "" {
di _n as txt "Kinky least squares estimation" _col(51) as txt "Number of obs" _col(67) "=" _col(69) as res %10.0f e(N)
}
if e(corr) < . & "`table'" == "" {
di _n as txt "Postulated endogeneity of `e(klsvar)' = " %5.4f e(corr)
_coef_table, `options'
}
// if "`footnote'" == "" {
// di as txt "Variables partialled out:"
// loc p = 1
// loc piece : piece 1 77 of "`e(controls)'", nobreak
// while "`piece'" != "" {
// di _col(2) "`piece'"
// loc ++p
// loc piece : piece `p' 77 of "`e(controls)'", nobreak
// }
// }
end
*==================================================*
**** syntax parsing of additional display options ****
program define kinkyreg_parse_display, sclass
version 13.0
sret clear
syntax , [noHEader noTABle PLus Level(cilevel) *]
_get_diopts diopts options, level(`level') `options'
sret loc diopts `"`header' `table' `plus' `diopts'"'
sret loc level "level(`level')"
sret loc options `"`options'"'
end
*==================================================*
**** syntax parsing of the optimization options ****
program define kinkyreg_init, sclass
version 13.0
sret clear
syntax [, *]
loc mopt "kinkyreg_kls"
mata: `mopt' = kinkyreg_init()
sret loc mopt "`mopt'"
sret loc options `"`options'"'
end
*==================================================*
**** syntax parsing of the variable list ****
// (inspired by _iv_parse.ado)
program define kinkyreg_parse_varlist, sclass
version 13.0
gettoken depvar 0 : 0, p(" ,[") m(paren) bind
if inlist(`"`depvar'"', "[", ",", "if", "in") | `"`depvar'"' == "" {
error 198
}
_fv_check_depvar `depvar'
gettoken var 0 : 0, p(" ,[") m(paren) bind
while !inlist(`"`var'"', "[", ",", "if", "in") & `"`var'"' != "" {
if "`paren'" == "(" {
if `"`endovars'"' != "" | `"`ivvars'"' != "" {
error 198
}
gettoken endovar var : var, parse(" =") bind
while `"`endovar'"' != "" & `"`endovar'"' != "=" {
loc endovars `"`endovars' `endovar'"'
gettoken endovar var : var, parse(" =") bind
}
loc ivvars `"`var'"'
}
else {
loc exovars `"`exovars' `var'"'
}
gettoken var 0 : 0, p(" ,[") m(paren) bind
}
sret loc rest `"`0'"'
sret loc ivvars `"`: list retok ivvars'"'
sret loc endovars `"`: list retok endovars'"'
sret loc exovars `"`: list retok exovars'"'
sret loc depvar `"`depvar'"'
end
*==================================================*
**** syntax parsing of linear combinations ****
program define kinkyreg_parse_lincom, sclass
version 13.0
sret clear
syntax , [LINCOM(string asis) *]
if `"`lincom'"' != "" {
gettoken lincomnum lincom : lincom, parse(":")
cap conf integer n `lincomnum'
if _rc {
di as err "option lincom() incorrectly specified"
exit 198
}
if `lincomnum' < 0 {
di as err "option lincom() incorrectly specified"
exit 198
}
gettoken colon lincom : lincom, parse(":")
if `"`colon'"' != ":" {
di as err "option lincom() incorrectly specified"
exit 198
}
sret loc lincomnum = `lincomnum'
sret loc lincom `"`lincom'"'
}
sret loc options `"`options'"'
end
*==================================================*
**** syntax parsing of graph options ****
program define kinkyreg_parse_options, sclass
version 13.0
sret clear
syntax anything(id="plot identifier"), [TWoway(string asis) COEFPlot(string asis) CIPlot(string asis) *]
if `"`twoway'"' != "" {
kinkyreg_parse_twoway `twoway'
loc twvar `"`s(varname)'"'
if !`: list twvar in anything' {
di as err `"option twoway() incorrectly specified -- `twvar' not found"'
exit 198
}
if `"`ciplot'"' != "" {
loc options `"ciplot(`ciplot') `options'"'
}
if `"`coefplot'"' != "" {
loc options `"coefplot(`coefplot') `options'"'
}
}
else {
if `"`coefplot'"' != "" {
kinkyreg_parse_coefplot `coefplot'
loc coefvar `"`s(varname)'"'
if !`: list coefvar in anything' {
di as err `"option coefplot() incorrectly specified -- `coefvar' not found"'
exit 111
}
if `"`ciplot'"' != "" {
loc options `"ciplot(`ciplot') `options'"'
}
}
else {
if `"`ciplot'"' != "" {
kinkyreg_parse_ciplot `ciplot'
}
else if `"`options'"' != "" {
di as err `"`options' invalid"'
exit 198
}
}
}
sret loc options `"`options'"'
end
*==================================================*
**** syntax parsing of twoway graph options ****
program define kinkyreg_parse_twoway, sclass
version 13.0
syntax [anything(id="plot identifier")], [ NAME(passthru) ///
SAVING(passthru) ///
ORDER(string) ///
ADDPLOT(string asis) ///
YRANGE(numlist miss min=2 max=2) ///
*]
gettoken varname anything : anything
if `"`: list retok anything'"' != "" | (`"`varname'"' == "" & (`"`name'"' != "" | `"`saving'"' != "")) {
di as err "option twoway() incorrectly specified"
exit 198
}
if "`order'" != "" {
loc dups : list dups order
if "`dups'" != "" {
di as err "option order() incorrectly specified"
exit 198
}
foreach twplot in `order' {
if !inlist("`twplot'", "kls", "kls_ci", "iv", "iv_ci") {
di as err "option order() incorrectly specified"
exit 198
}
}
}
if `"`addplot'"' != "" {
kinkyreg_parse_twoway_addplot `addplot'
}
if "`yrange'" != "" {
loc yrange1 : word 1 of `yrange'
loc yrange2 : word 2 of `yrange'
if `yrange1' < . & `yrange1' > `yrange2' {
di as err "yrange() invalid -- invalid numlist has elements out of order"
exit 124
}
sret loc yrange "`yrange1', `yrange2'"
}
sret loc varname `"`varname'"'
sret loc twname `"`name'"'
sret loc twopt `"`saving' `options'"'
sret loc order "`order'"
end
*==================================================*
**** syntax parsing of addplot option ****
program define kinkyreg_parse_twoway_addplot, sclass
version 13.0
syntax anything(id="graph twoway plot"), [BEFORE(name local) *]
if "`before'" != "" {
if !inlist("`before'", "kls", "kls_ci", "iv", "iv_ci") {
di as err "option before() incorrectly specified"
exit 198
}
}
if `"`options'"' != "" {
loc anything `"`anything', `options'"'
}
sret loc before "`before'"
sret loc addplot `"`anything'"'
end
*==================================================*
**** syntax parsing of graph options for coefficient plots ****
program define kinkyreg_parse_coefplot, sclass
version 13.0
syntax anything(id="plot identifier"), [*]
gettoken estimator varname : anything
if !inlist(`"`estimator'"', "kls", "iv") {
di as err `"option coefplot() incorrectly specified -- `estimator' invalid"'
exit 198
}
sret loc varname `"`: list retok varname'"'
sret loc estimator "`estimator'"
sret loc coefopt `"`options'"'
end
*==================================================*
**** syntax parsing of graph options for confidence interval plots ****
program define kinkyreg_parse_ciplot, sclass
version 13.0
syntax anything(id="plot identifier"), [*]
gettoken estimator varname : anything
if !inlist(`"`estimator'"', "kls", "iv") {
di as err `"option ciplot() incorrectly specified -- `estimator' invalid"'
exit 198
}
sret loc varname `"`: list retok varname'"'
sret loc estimator "`estimator'"
sret loc ciopt `"`options'"'
end
*==================================================*
*** version history ***
* version 1.1.1 16mar2021 Stata Journal version; improved help files
* version 1.1.0 08feb2021 command kinkyreg2dta added; option ivperfect added; postestimation command estat rcr added; suboption yrange() for postestimation option twoway() added; additional results stored by postestimation commands with option correlation(); bug with option correlation() of estat exclusion fixed; bug with factor variables in estat durbin fixed
* version 1.0.3 22oct2020 bug with option small fixed; confidence intervals and lincom results stored in estimation results
* version 1.0.2 02oct2020 bug with omitted regressors in computation of KLS standard errors fixed; bug with factor variables in postestimation commands fixed
* version 1.0.1 12sep2020 updated reference in the help files
* version 1.0.0 10sep2020 available online at www.kripfganz.de
* version 0.2.0 01sep2020
* version 0.1.5 15aug2020
* version 0.1.4 09jun2020
* version 0.1.3 02jun2020
* version 0.1.2 01jun2020
* version 0.1.1 29may2020
* version 0.1.0 28apr2020
* version 0.0.6 17apr2020
* version 0.0.5 15feb2020
* version 0.0.4 13feb2020
* version 0.0.3 27nov2019
* version 0.0.2 20nov2019
* version 0.0.1 08oct2019