articleThe Stata Journal Promoting communications on statistics and StataMar 1, 2003BRONZE OA

Instrumental Variables and GMM: Estimation and Testing

CFChristopher F. BaumMEMark E. SchafferSSSteven Stillman

Boston College

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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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Topics & keywords

Topics
Keywords
  • Instrumental variable
  • Endogeneity
  • Heteroscedasticity
  • Context (archaeology)
  • Generalized method of moments
  • Estimation
  • Econometrics
  • Statistics
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