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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

Abstract: 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
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Published, Stata Journal, 7:4, 465-506, 2007

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:667

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