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IVGMM0: Stata module to perform instrumental variables via GMM

Listed author(s):
  • Christopher F Baum


    (Boston College)

  • David M. Drukker


    (Stata Corporation)

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.

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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.
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Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
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