Instrumental Variables and GMM: Estimation and Testing-Reference-Cited by-同舟云学术

Instrumental Variables and GMM: Estimation and Testing

Published:2003-03 Issue:1 Volume:3 Page:1-31
ISSN:1536-867X
Container-title:The Stata Journal: Promoting communications on statistics and Stata
language:en
Short-container-title:The Stata Journal

Author:

Baum Christopher F.¹,Schaffer Mark E.²,Stillman Steven³

Affiliation:

1. Boston College

2. Heriot–Watt University

3. New Zealand Department of Labour

Abstract

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.

Publisher

SAGE Publications

Subject

Mathematics (miscellaneous)

Link

http://journals.sagepub.com/doi/pdf/10.1177/1536867X0300300101

Reference45 articles.

1. PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within-groups Estimators*

2. On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics

3. Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak

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