Instrumental variables and GMM: Estimation and testing

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.

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Year of publication:	2002-11-01
Authors:	Baum, Christopher ; Schaffer, Mark E. ; Stillman, Steven
Institutions:	Department of Economics, Boston College
Subject:	instrumental variables \| generalized method of moments \| endogeneity \| heteroskedasticity \| overidentifying restrictions

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Extent:	application/pdf
Series:	Boston College Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	Published, The Stata Journal, 3(1), 1-31, 2003. The text is part of a series Boston College Working Papers in Economics Number 545 31 pages
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/10005074035