Enhanced routines for instrumental variables/generalized method of moments estimation and testing

Christopher F. Baum, Mark E. Schaffer, Steven Stillman

Research output: Contribution to journalArticlepeer-review

588 Citations (Scopus)

Abstract

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class estimation, tests for endogeneity and Ramsey's regression specification-error test, and autocorrelation tests for instrumental variable estimates and panel-data instrumental variable estimates. © 2007 StataCorp LP.

Original languageEnglish
Pages (from-to)465-506
Number of pages42
JournalStata Journal
Volume7
Issue number4
Publication statusPublished - Dec 2007

Keywords

  • CUE
  • Endogeneity
  • Frisch-Waugh-Lovell theorem
  • GMM
  • HAC standard errors
  • Heteroskedasticity
  • Instrumental variables
  • Ivactest
  • Ivendog
  • Ivhettest
  • Ivreg2
  • Ivreset
  • LIML
  • Overid
  • Overidentifying restrictions
  • Ranktest
  • Serial correlation
  • St0030_3
  • Weak instruments

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