Instrumental variables and GMM: Estimation and testing

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

No 2, United Kingdom Stata Users' Group Meetings 2003 from Stata Users Group

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.

Date: Written
View list of references View citations in EconPapers

Downloads: (external link)
http://fmwww.bc.edu/repec/nasug2003/IVGMM3316.pdf (application/pdf)
http://fmwww.bc.edu/ec-p/wp545.pdf (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 (2003)
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:usug03:02

Access Statistics for this paper

More papers in United Kingdom Stata Users' Group Meetings 2003 from Stata Users Group
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().