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

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Mark E. Schaffer

    (Heriot-Watt University)

  • Steven Stillman

    (Motu Economic Public Policy Research)

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. Copyright 2007 by StataCorp LP.

Suggested Citation

  • Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/generalized method of moments estimation and testing," Stata Journal, StataCorp LLC, vol. 7(4), pages 465-506, December.
    • Handle: RePEc:tsj:stataj:v:7:y:2007:i:4:p:465-506
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    References listed on IDEAS

    as
    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LLC, vol. 3(1), pages 1-31, March.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
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