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Instrumental Variables and GMM: Estimation and Testing
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.
Citation
Baum, Christopher; Mark Schaffer and Steven Stillman. 2003. “Instrumental Variables and GMM: Estimation and Testing,” Stata Journal, 3:1, pp. 1-31.
Motu code: MYS0137
JEL codes: