Instrumental variables and GMM: Estimation and testing
Christopher F. Baum
Boston College
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Mark E. Schaffer
Heriot–Watt University
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Steven Stillman
New Zealand Department of Labour
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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.
View all articles by these authors:
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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