Instrumental variables and GMM: Estimation and testing

Christopher Baum, Mark Schaffer () and Steven Stillman

No 545, Boston College Working Papers in Economics from Boston College Department of Economics

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.

Keywords: instrumental variables; generalized method of moments; endogeneity; heteroskedasticity; overidentifying restrictions (search for similar items in EconPapers)
JEL-codes: C12 C13 C20 C22 C23 C87 (search for similar items in EconPapers)
Date: 2002-11-01, Revised 2003-02-14
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1069)

Published, The Stata Journal, 3(1), 1-31, 2003.

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Related works:
Journal Article: Instrumental variables and GMM: Estimation and testing (2003)
Working Paper: Instrumental variables and GMM: Estimation and testing (2002)
Working Paper: Instrumental variables and GMM: Estimation and testing (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:545

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