English, Article, Journal or magazine article edition: Instrumental variables: Overview and advances Kit Baum

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Bookmark: http://trove.nla.gov.au/version/101116
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Instrumental variables: Overview and advances
Author
  • Kit Baum
Physical Description
  • preprint
Notes
  • The talk will present the instrumental variables (IV) regression estimator, a key tool for the estimation of relationships incorporating endogeneity/​two-way causality or measurement error, focusing on the Baum/​Schaffer/​Stillman ivreg2 package and Stata 10’s new ivregress command. The IV or two-stage least squares estimator is a special case of a Generalized Method of Moments (GMM) estimator. GMM techniques are appropriate when non-i.i.d. disturbances are encountered. We will discuss tests of overidentification, weak instruments, endogeneity/​exogeneity and recently developed tools for testing functional form specification (ivreset) and autocorrelation in the IV context (ivactest).
  • RePEc:boc:usug07:12
Language
  • English
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