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IVGMM0: Stata module to perform instrumental variables via GMM

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum & David M. Drukker, 2000. "IVGMM0: Stata module to perform instrumental variables via GMM," Statistical Software Components S410601, Boston College Department of Economics, revised 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivgmm0.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivgmm0.hlp
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    More about this item

    Keywords

    GMM; instrumental variables; heteroskedasticity;

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