Enhanced routines for instrumental variables/generalized method of moments estimation and testing

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.


Issue Date:
2007
Publication Type:
Journal Article
DOI and Other Identifiers:
st0030_3 (Other)
PURL Identifier:
http://purl.umn.edu/119291
Published in:
Stata Journal, Volume 07, Number 4
Page range:
465-506
Total Pages:
42

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 Record created 2017-04-01, last modified 2017-08-26

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