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

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Mark E. Schaffer

    ()
    (Heriot-Watt University)

  • Steven Stillman

    ()
    (Motu Economic Public Policy Research)

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. Copyright 2007 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 7 (2007)
Issue (Month): 4 (December)
Pages: 465-506

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Handle: RePEc:tsj:stataj:v:7:y:2007:i:4:p:465-506

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Related research

Keywords: ivactest; ivendog; ivhettest; ivreg2; ivreset; overid; ranktest; instrumental variables; weak instruments; GMM; endogeneity; heteroskedasticity; serial correlation; HAC standard errors; LIML; CUE; overidentifying restrictions; Frisch-Waugh-Lovell theorem; RESET; Cumby-Huizinga test;

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