Enhanced routines for instrumental variables/GMM estimation and testing

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

No 706, CERT Discussion Papers from Centre for Economic Reform and Transformation, Heriot Watt University

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; weak instruments; generalized method of moments; endogeneity; heteroskedasticity; serial correlation; HAC standard errors; LIML; CUE; overidentifying restrictions; Frisch-Waugh-Lovell theorem; RESET; Cumby-Huizinga test (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-ecm
Date: 2007
View list of references View citations in EconPapers

Downloads: (external link)
http://www.sml.hw.ac.uk/cert/wpa/2007/dp0706.pdf (application/pdf)

Related works:
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) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hwe:certdp:0706

Access Statistics for this paper

More papers in CERT Discussion Papers from Centre for Economic Reform and Transformation, Heriot Watt University
Contact information at EDIRC.
Series data maintained by Professor Mark Schaffer ().