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IVGMM0: Stata module to perform instrumental variables via GMM

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • David M. Drukker

    ()
    (Stata Corporation)

Abstract

ivgmm0 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.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/i/ivgmm0.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/i/ivgmm0.hlp
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S410601.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 12 Apr 2000
Date of revision: 16 Mar 2004
Handle: RePEc:boc:bocode:s410601

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
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: GMM; instrumental variables; heteroskedasticity;

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