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: 2002-12-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (124)

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:
Journal Article: Instrumental variables and GMM: Estimation and testing (2003)
Working Paper: Instrumental variables and GMM: Estimation and testing (2003)
Working Paper: Instrumental variables and GMM: Estimation and testing (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug03:02

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