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Enhanced routines for instrumental variables/GMM estimation and testing
Christopher F Baum () and
Mark E Schaffer ()
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
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Published, Stata Journal, 7:4, 465-506, 2007
Downloads: (external link) http://fmwww.bc.edu/EC-P/wp667.pdf main text (application/pdf)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:667
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