English, Article edition: IVGMM0: Stata module to perform instrumental variables via GMM Christopher F Baum; David M. Drukker

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Bookmark: http://trove.nla.gov.au/version/174681
Physical Description
  • code
Language
  • English

Edition details

Title
  • IVGMM0: Stata module to perform instrumental variables via GMM
Author
  • Christopher F Baum
  • David M. Drukker
Physical Description
  • code
Notes
  • ivgmm0 estimates a linear regression model containing endogenous regressors via a generalized method of moments instrumental variables estimator (GMM-IV) that allows for heteroskedasticity of unknown form, with a command syntax matching that of ivreg. If the equation is overidentified by an abundance of instruments, a test of overidentifying restrictions--Hansen's "J" statistic--is provided to evaluate the validity of the model. The specification of this routine as ivgmm0 is meant to highlight its ability to deal with a heteroskedastic error process (at lag 0), but not with autocorrelation of unknown form (for which see ivreg2). This is version 1.1.12 of the software.
  • GMM, instrumental variables, heteroskedasticity
  • RePEc:boc:bocode:s410601
Language
  • English
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