| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| 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
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| 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
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| 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.
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| Tipo: |
Article
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| Idioma: |
Inglês
|
| Identificador: |
st0030_3
http://purl.umn.edu/119291
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| Relação: |
Stata Journal>Volume 7, Number 4, 4th Quarter 2007
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| Formato: |
42
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