Instrumental variables and GMM: Estimation and testing

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dc.creatorBaum, Christopher F.
dc.creatorSchaffer, Mark E.
dc.creatorStillman, Steven
dc.date2017-04-01T13:55:48Z
dc.date.accessioned2026-07-09T05:47:19Z
dc.descriptionWe 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.
dc.identifierOther:st0030
dc.identifierdoi:10.22004/ag.econ.116029
dc.identifierhttps://ageconsearch.umn.edu/record/116029/files/sjart_st0030.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/116029
dc.identifier.urihttp://hdl.handle.net/123456789/568361
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/116029
dc.titleInstrumental variables and GMM: Estimation and testing
dc.typeText

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University of Minnesota