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

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

Research output: Contribution to journalArticle

546 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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