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: C12 C13 C20 C22 C23 C87 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (393)

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Working Paper: Enhanced routines for instrumental variables/GMM estimation and testing (2007)
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