Instrumental Variables and GMM: Estimation and Testing

Christopher F. Baum; Mark E. Schaffer; Steven Stillman

doi:10.1177/1536867x0300300101

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

Affiliated Institutions

Boston College US

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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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APA Style

                            
                                    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

Identifiers

DOI: 10.1177/1536867x0300300101