Enhanced routines for instrumental variables/GMM estimation and testing
Christopher Baum (),
Mark Schaffer () and
Steven Stillman ()
No 667, Boston College Working Papers in Economics from Boston College Department of Economics
We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.
Keywords: instrumental variables; generalized method of moments; endogeneity; heteroskedasticity; autocorrelation; weak instruments; 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-ets
Date: 2007-05-09, Revised 2007-09-05
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (152) Track citations by RSS feed
Published, Stata Journal, 7:4, 465-506, 2007
Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp667.pdf main text (application/pdf)
Working Paper: Enhanced routines for instrumental variables/GMM estimation and testing (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:667
Access Statistics for this paper
More papers in Boston College Working Papers in Economics from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Series data maintained by Christopher F Baum ().