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.

Keywords

Instrumental variableEndogeneityHeteroscedasticityContext (archaeology)Generalized method of momentsEstimationEconometricsStatisticsMathematicsEconomicsPanel dataGeography

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Publication Info

Year
2003
Type
article
Volume
3
Issue
1
Pages
1-31
Citations
2593
Access
Closed

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Christopher F. Baum, Mark E. Schaffer, Steven Stillman (2003). Instrumental Variables and GMM: Estimation and Testing. The Stata Journal Promoting communications on statistics and Stata , 3 (1) , 1-31. https://doi.org/10.1177/1536867x0300300101

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DOI
10.1177/1536867x0300300101