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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
Mark E. Schaffer
Economics Department
Heriot–Watt University
Edinburgh, UK
Steven Stillman
Motu Economic Public Policy Research
Wellington, New Zealand
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 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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