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. Copyright 2003 by Stata Corporation.

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Year of publication:	2003
Authors:	Baum, Christopher F ; Schaffer, Mark E. ; Stillman, Steven
Published in:	Stata Journal. - StataCorp LP. - Vol. 3.2003, 1, p. 1-31
Publisher:	StataCorp LP
Subject:	instrumental variables \| generalized method of moments \| endogeneity \| heteroskedasticity \| overidentifying restrictions

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Extent:	text/html application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005568889