Dear Statalists,

I am using an IV framework for a collection of "h" regressions (Local projection) using ivreg2, where I have detected serial correlation using the Cumby and Huizinga test (from 1 to 4 lags, depending on "h") but I did not tested for the presence of heteroskedastic yet (for the regressions I employ a Newey-West correction). I am using 2SLS, and given that the Olea and Pflueger (2013) test highlight a problem of weak instruments at some horizons "h", I wanted to check the consistency of the results using additional estimators. First of all, LIML seems to be more centered around the true value of the parameters, however, the assumption of iid errors does not hold in my case. Nevertheless, the results are in line with 2SLS, but with larger standard errors for the horizons where the test for weak instruments has detected that problem. Then, I tried GMM and a Continuously Updating GMM estimator (cue option for ivreg2). When running the, very computationally intense, model Stata tells me: convergence not achieved. Note that the results are very similar to the 2SLS case. How should I interpret that?

Thanks all,
Alessandro