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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)

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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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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 7 (2007)
Issue (Month): 4 (December)
Pages: 465-506
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:tsj:stataj:v:7:y:2007:i:4:p:465-506

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Web page: http://www.stata-journal.com/

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For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

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;

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kovandzic, Tomislav & Schaffer, Mark & Kleck, Gary, 2008. "Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach," IZA Discussion Papers 3589, Institute for the Study of Labor (IZA). [Downloadable!]
  2. Matthew Baker & Niklas J. Westelius, 2009. "Crime, Expectations and The Deterrence Hypothesis," Hunter College Department of Economics Working Papers 425, Hunter College: Department of Economics. [Downloadable!]
  3. Johann Burgstaller & Johann Scharler, 2009. "How Do Bank Lending Rates and the Supply of Loans React to Shifts in Loan Demand in the U.K.?," Economics working papers 2009-02, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
  4. Steven Stillman & David C. Maré, 2008. "Housing Markets and Migration: Evidence from New Zealand," Working Papers 08_06, Motu Economic and Public Policy Research. [Downloadable!]
  5. Nicolas Ziebarth & Markus Grabka, 2009. "In Vino Pecunia? The Association Between Beverage-Specific Drinking Behavior and Wages," Journal of Labor Research, Springer, vol. 30(3), pages 219-244, September. [Downloadable!] (restricted)
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