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Instrumental variables: Overview and advances


  • Kit Baum

    () (Boston College
    DIW Berlin)


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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  • Kit Baum, 2007. "Instrumental variables: Overview and advances," United Kingdom Stata Users' Group Meetings 2007 12, Stata Users Group.
  • Handle: RePEc:boc:usug07:12

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    Cited by:

    1. Nese Erbil, 2011. "Cyclicality of Fiscal Behavior in Developing Oil-Producing Countries: An Empirical Review," Working Papers 638, Economic Research Forum, revised 10 Jan 2011.
    2. Nese Erbil, 2011. "Is Fiscal Policy Procyclical in Developing Oil-Producing Countries?," IMF Working Papers 11/171, International Monetary Fund.

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