Enhanced routines for instrumental variables/GMM estimation and testing

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

MoreLess

Year of publication:	2007-05-09
Authors:	Baum, Christopher ; Schaffer, Mark ; Stillman, Steven
Institutions:	Department of Economics, Boston College
Subject:	instrumental variables \| generalized method of moments \| endogeneity \| heteroskedasticity \| autocorrelation \| weak instruments \| overidentifying restrictions

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Boston College Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	published, Stata Journal, 7:4, 465-506, 2007 The text is part of a series Boston College Working Papers in Economics Number 667
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C23 - Models with Panel Data ; C12 - Hypothesis Testing ; C13 - Estimation ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005027835