Data/hora: 03/06/2024 01:58:31

Provedor de dados: | 31
País: | United States
Título: | Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Autores: | Baum,   Christopher F.; Schaffer,   Mark E.; Stillman,   Steven.
Data: | 2011-12-27
Ano: | 2007
Palavras-chave: | Ivactest; Ivendog; Ivhettest; Ivreg2; Ivreset; Overid; Ranktest; Instrumental variables; Weak instruments; GMM; Endogeneity; Heteroskedasticity; Serial correlation; HAC standard errors; LIML; CUE; Overidentifying restrictions; Frisch–Waugh–Lovell theorem; RESET; Cumby–Huizinga test; Research Methods/ Statistical Methods.
Resumo: | 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.
Tipo: | Article
Idioma: | Inglês

Identificador:

st0030_3

http://purl.umn.edu/119291

Relação: | Stata Journal&gt;Volume 7, Number 4, 4th Quarter 2007
Formato: | 42