Enhanced routines for instrumental variables/generalized method of moments estimation and testing

@inproceedings{Baum2007EnhancedRF,
  title={Enhanced routines for instrumental variables/generalized method of moments estimation and testing},
  author={Christopher F. Baum and Mark E. Schaffer and Steven Stillman},
  year={2007}
}
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. Copyright 2007… CONTINUE READING

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