English, Article, Journal or magazine article edition: Enhanced routines for instrumental variables/GMM estimation and testing Christopher F Baum; Mark E. Schaffer; Steven Stillman

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Bookmark: http://trove.nla.gov.au/version/73674
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Enhanced routines for instrumental variables/​GMM estimation and testing
Author
  • Christopher F Baum
  • Mark E. Schaffer
  • Steven Stillman
Physical Description
  • preprint
Notes
  • instrumental variables, weak instruments, generalized method of moments, endogeneity, heteroskedasticity, serial correlation, HAC standard errors, LIML, CUE, overidentifying restrictions, Frisch-Waugh-Lovell theorem, RESET, Cumby-Huizinga test
  • RePEc:hwe:certdp:0706
  • We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.
  • instrumental variables, generalized method of moments, endogeneity, heteroskedasticity, autocorrelation, weak instruments, overidentifying restrictions
  • RePEc:boc:bocoec:667
Language
  • English
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