IVGMM0: Stata module to perform instrumental variables via GMM
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.
|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: |
Web page: http://fmwww.bc.edu/EC/
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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