IVGMM0: Stata module to perform instrumental variables via GMM
Abstractivgmm0 estimates a linear regression model containing endogenous regressors via a generalized method of moments instrumental variables estimator (GMM-IV) that allows for heteroskedasticity of unknown form, with a command syntax matching that of ivreg. If the equation is overidentified by an abundance of instruments, a test of overidentifying restrictions--Hansen's "J" statistic--is provided to evaluate the validity of the model. The specification of this routine as ivgmm0 is meant to highlight its ability to deal with a heteroskedastic error process (at lag 0), but not with autocorrelation of unknown form (for which see ivreg2). This is version 1.1.12 of the software.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S410601.
Programming language: Stata
Requires: Stata version 6.0
Date of creation: 12 Apr 2000
Date of revision: 16 Mar 2004
Note: This module may be installed from within Stata by typing "ssc install ivgmm0". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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