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Enhanced Routines for Instrumental Variables/Generalized Method of Moments Estimation and Testing

Open access
Baum, Christopher F., Schaffer, Mark E., Stillman, Steven·2007·The Stata Journal: Promoting communications on statistics and Stata

Abstract

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class estimation, tests for endogeneity and Ramsey's regression specification-error test, and autocorrelation tests for instrumental variable estimates and panel-data instrumental variable estimates.

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Crossref · 10.1177/1536867x0800700402

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Metadata

Authors
Baum, C. F., Schaffer, M. E., & Stillman, S.
Venue
The Stata Journal: Promoting communications on statistics and Stata
Published
2007-12
Volume
7
Issue
4
Pages
465-506
ISSN
  • 1536-867X (ISSN-L)
  • 1536-8734
OpenAlex
W1547506455
Cited by
1,272
References
1
FWCI
14.42
Type
journal article
Language
en
Open access
green

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