IVGMM0: Stata module to perform instrumental variables via GMM

Christopher Baum () and David M. Drukker ()
Additional contact information
David M. Drukker: Stata Corporation

Statistical Software Components from Boston College Department of Economics

Abstract: ivgmm0 estimates a linear regression model containing endogenous regressors via a generalized method of moments instrumental variables estimator (GMM-IV) that allows for heteroskedasticity of unknown form, with a command syntax matching that of ivreg. If the equation is overidentified by an abundance of instruments, a test of overidentifying restrictions--Hansen's "J" statistic--is provided to evaluate the validity of the model. The specification of this routine as ivgmm0 is meant to highlight its ability to deal with a heteroskedastic error process (at lag 0), but not with autocorrelation of unknown form (for which see ivreg2). This is version 1.1.12 of the software.

Language: Stata
Requires: Stata version 6.0
Keywords: GMM; instrumental variables; heteroskedasticity (search for similar items in EconPapers)
Date: 2000-04-12, Revised 2004-03-16
Note: This module may be installed from within Stata by typing "ssc install ivgmm0". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/i/ivgmm0.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivgmm0.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s410601

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