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Enhanced routines for instrumental variables/GMM estimation and testing Author info | Abstract | Publisher info | Download info | Related research | Statistics Christopher F Baum () (Boston College)
Mark E. Schaffer () (Heriot-Watt University)
Steven Stillman () (Motu Economic and Public Policy Research)
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We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.
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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number
667.
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Length: 38 pages
Date of creation: 09 May 2007Date of revision:
05 Sep 2007Publication status: published, Stata Journal, 7:4, 465-506, 2007Handle: RePEc:boc:bocoec:667Contact 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
For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).
Keywords: instrumental variables ; generalized method of moments ; endogeneity ; heteroskedasticity ; autocorrelation ; weak instruments ; overidentifying restrictions ; Other versions of this item:
Find related papers by JEL classification: C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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