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 |
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Pages (from-to) | 465-506 |
Number of pages | 42 |
Journal | The 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