Instrumental variables: Overview and advances

Christopher Baum ()

United Kingdom Stata Users' Group Meetings 2007 from Stata Users Group

Abstract: The talk will present the instrumental variables (IV) regression estimator, a key tool for the estimation of relationships incorporating endogeneity/two-way causality or measurement error, focusing on the Baum/Schaffer/Stillman ivreg2 package and Stata 10’s new ivregress command. The IV or two-stage least squares estimator is a special case of a Generalized Method of Moments (GMM) estimator. GMM techniques are appropriate when non-i.i.d. disturbances are encountered. We will discuss tests of overidentification, weak instruments, endogeneity/exogeneity and recently developed tools for testing functional form specification (ivreset) and autocorrelation in the IV context (ivactest).

Date: 2007-09-14

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http://repec.org/usug2007/baumUKSUG2007.pdf (application/pdf)
http://repec.org/usug2007/baumUKSUG2007smcltalk.zip SMCL script for examples (application/zip)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:usug07:12

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