Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Christopher F. Baum
Department of Economics
Boston College
Chestnut Hill, MA
[email protected]
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Mark E. Schaffer
Economics Department
Heriot–Watt University
Edinburgh, UK
[email protected]
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Steven Stillman
Motu Economic Public Policy Research
Wellington, New Zealand
[email protected]
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Abstract. 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.
View all articles by these authors:
Christopher F. Baum, Mark E. Schaffer, Steven Stillman
View all articles with these keywords:
ivactest, ivendog, ivhettest, ivreg2, ivreset, overid, ranktest, instrumental variables, weak instruments, GMM, endogeneity, heteroskedasticity, serial correlation, HAC standard errors, LIML, CUE, overidentifying restrictions, Frisch–Waugh–Lovell theorem, RESET, Cumby–Huizinga test
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