Instrumental Variables and GMM: Estimation and Testing
2003Published
1.8KCitations
0References
journal articleType
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.
Journal: The Stata Journal: Promoting communications on statistics and Stata
Publisher: SAGE Publications
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