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.

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Year of publication:	2007
Authors:	Baum, Christopher ; Schaffer, Mark ; Stillman, Steven
Institutions:	Centre for Economic Reform and Transformation, School of Management and Languages
Subject:	instrumental variables \| weak instruments \| generalized method of moments \| endogeneity \| heteroskedasticity \| serial correlation \| HAC standard errors \| LIML \| CUE \| overidentifying restrictions \| Frisch-Waugh-Lovell theorem \| RESET \| Cumby-Huizinga test

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Extent:	application/pdf
Series:	CERT Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series DP Number 0706
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/10005292582