Instrumental variables and GMM: Estimation and testing

Christopher Baum (), Mark Schaffer () and Steven Stillman ()

No 545, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.

Keywords: instrumental variables; generalized method of moments; endogeneity; heteroskedasticity; overidentifying restrictions (search for similar items in EconPapers)
JEL-codes: C20 C22 C23 C12 C13 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2002-11-01, Revised 2003-02-14
View list of references View citations in EconPapers

Published, The Stata Journal, 3(1), 1-31, 2003.

Downloads: (external link)
http://fmwww.bc.edu/EC-P/WP545.pdf main text (application/pdf)
http://fmwww.bc.edu/ec-p/baum/cert/IVandGMM.do sample program

Related works:
Working Paper: Instrumental variables and GMM: Estimation and testing (2002)
Working Paper: Instrumental variables and GMM: Estimation and testing (2002)
Journal Article: Instrumental variables and GMM: Estimation and testing (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:545

Access Statistics for this paper

More papers in Boston College Working Papers in Economics from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().