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Instrumental variables: Overview and advances

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Author Info
Kit Baum () (Boston College, DIW Berlin)

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Abstract

The talk will present the instrumental variables (IV) regression estimator, a key tool for the estimation of relationships incorporating endogeneity/two-way causality or measurement error, focusing on the Baum/Schaffer/Stillman ivreg2 package and Stata 10’s new ivregress command. The IV or two-stage least squares estimator is a special case of a Generalized Method of Moments (GMM) estimator. GMM techniques are appropriate when non-i.i.d. disturbances are encountered. We will discuss tests of overidentification, weak instruments, endogeneity/exogeneity and recently developed tools for testing functional form specification (ivreset) and autocorrelation in the IV context (ivactest).

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Publisher Info
Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2007 with number 12.

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Date of creation: 14 Sep 2007
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Handle: RePEc:boc:usug07:12

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