Enhanced Routines for Instrumental Variables/Generalized Method of Moments Estimation and Testing

Stata Journal - Tập 7 Số 4 - Trang 465-506 - 2007
Christopher F. Baum1, Mark E. Schaffer2, Steven Stillman3
1Department of Economics, Boston College, Chestnut Hill, MA.
2Economics Department Heriot–Watt University Edinburgh, UK
3Motu Economic Public Policy Research Wellington, New#R# Zealand

Tóm tắt

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class estimation, tests for endogeneity and Ramsey's regression specification-error test, and autocorrelation tests for instrumental variable estimates and panel-data instrumental variable estimates.

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