Instrumental Variables and GMM: Estimation and Testing

作者：Christopher F. Baum, Mark E. Schaffer, Steven Stillman · 发表于：The Stata Journal Promoting communications on statistics and Stata · 年份：2003 · DOI：10.1177/1536867x0300300101 · 被引用次数：2711 · 研究领域：Monetary Policy and Economic Impact、Statistical Methods and Inference、Financial Risk and Volatility Modeling

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.