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 language | English |
|---|---|
| Pages (from-to) | 465-506 |
| Number of pages | 42 |
| Journal | Stata Journal |
| Volume | 7 |
| Issue number | 4 |
| Publication status | Published - 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