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Instrumental variables and GMM: Estimation and testing

By Christopher F Baum, Mark E. Schaffer and Steven Stillman

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. Copyright 2003 by Stata Corporation.instrumental variables, generalized method of moments, endogeneity, heteroskedasticity, overidentifying restrictions

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