TWOSTEPWEAKIV: Stata module to implement two-step weak-instrument-robust confidence sets for linear instrumental-variable (IV) models

twostepweakiv implements two-step weak-instrument-robust confidence sets based on Andrews (2018) and refined projection method for subvector inference based on Chaudhuri and Zivot (2011) for linear instrumental-variable (IV) models. twostepweakiv supports a range of variance-covariance estimators including heteroskedastic, autocorrelation, and one- and two-way cluster-robust VCEs. twostepweakiv builds on and extends the command weakiv by Finlay, Magnusson and Schaffer (2016). twostepweakiv should be used as a standalone estimator where the user provides the specification of the model. twostepweakiv works by calling ivreg2 first to parse the specification and then estimate a minimum-distance model depending what the user has specified as estimator.