Currently, the Feiv class implements a "one-step" 2SLS estimator for instrumental variable estimation. For multiple first stage IV diagnostics of interest, this needs to be changed to a 2-Step estimator.
To do:
Update Fepois.get_fit() and Fepois.vcov() to be based on a 2-Step estimator.
This could be achieved by calling feols() twice or by implementing the 2-Step estimator by hand.
Jayhyung
commented
2 weeks ago
Context
Currently, the Feiv class implements a "one-step" 2SLS estimator for instrumental variable estimation. For multiple first stage IV diagnostics of interest, this needs to be changed to a 2-Step estimator.
To do:
Fepois.get_fit()andFepois.vcov()to be based on a 2-Step estimator.feols()twice or by implementing the 2-Step estimator by hand.