Instrumental variables and GMM: Estimation and testing

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.


Issue Date:
2002
Publication Type:
Journal Article
DOI and Other Identifiers:
st0030 (Other)
PURL Identifier:
http://purl.umn.edu/116029
Published in:
Stata Journal, Volume 03, Number 1
Page range:
1-31
Total Pages:
31

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 Record created 2017-04-01, last modified 2017-08-26

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