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

    640 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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