Instrumental variables and GMM: Estimation and testing
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.
Christopher F. Baum
Mark E. Schaffer
New Zealand Department of Labour
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Christopher F. Baum, Mark E. Schaffer, Steven Stillman
View all articles with these keywords:
instrumental variables, generalized method of moments, endogeneity, heteroskedasticity, overidentifying restrictions, clustering, intra-group correlation
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