Instrumental Variables and GMM: Estimation and Testing
Top Cited Papers
- 1 March 2003
- journal article
- research article
- Published by SAGE Publications in The Stata Journal: Promoting communications on statistics and Stata
- Vol. 3 (1) , 1-31
- https://doi.org/10.1177/1536867x0300300101
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.Keywords
All Related Versions
This publication has 33 references indexed in Scilit:
- Instrument Relevance in Multivariate Linear ModelsThe Review of Economics and Statistics, 1999
- Diagnostics for IV RegressionsOxford Bulletin of Economics and Statistics, 1999
- Instrument Relevance in Multivariate Linear Models: A Simple MeasureThe Review of Economics and Statistics, 1997
- Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is WeakJournal of the American Statistical Association, 1995
- A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under UncertaintyThe Quarterly Journal of Economics, 1988
- PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators*Oxford Bulletin of Economics and Statistics, 1987
- More Efficient Estimation in the Presence of Heteroscedasticity of Unknown FormEconometrica, 1983
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980
- Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample ResultsEconometrica, 1974
- On Finite Sample Distributions of Generalized Classical Linear Identifiability Test StatisticsJournal of the American Statistical Association, 1960