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Instrumental Variables and GMM: Estimation and Testing

  • Baum C
  • Schaffer M
  • Stillman S
The Stata Journal: Promoting communications on statistics and Stata (2003) 3(1) 1-31
DOI: 10.1177/1536867x0300300101
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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.

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APA

Baum, C. F., Schaffer, M. E., & Stillman, S. (2003). Instrumental Variables and GMM: Estimation and Testing. The Stata Journal: Promoting Communications on Statistics and Stata, 3(1), 1–31. https://doi.org/10.1177/1536867x0300300101

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