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

被引：886

作者：

Baum, Christopher F. ^{[1
]}

Schaffer, Mark E. ^{[2
]}

Stillman, Steven ^{[3
]}

机构：

[1] Boston Coll, Dept Econ, Chestnut Hill, MA 02167 USA

[2] Heriot Watt Univ, Dept Econ, Edinburgh, Midlothian, Scotland

[3] Motu Econ Publ Policy Res, Wellington, New Zealand

来源：

STATA JOURNAL | 2007年 / 7卷 / 04期

关键词：

st0030_3; 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;

D O I：

10.1177/1536867X0800700402

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：465 / 506

页数：42

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