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The Stata Journal
Volume 7 Number 4: pp. 465-506



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

Christopher F. Baum
Department of Economics
Boston College
Chestnut Hill, MA
baum@bc.edu
Mark E. Schaffer
Economics Department
Heriot–Watt University
Edinburgh, UK
m.e.schaffer@hw.ac.uk
Steven Stillman
Motu Economic Public Policy Research
Wellington, New Zealand
stillman@motu.org.nz
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.
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View all articles by these authors: Christopher F. Baum, Mark E. Schaffer, Steven Stillman

View all articles with these keywords: 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

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