Journal
STATA JOURNAL
Volume 7, Issue 4, Pages 465-506Publisher
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X0800700402
Keywords
st0030_3; ivactest; ivendog; ivhettest; ivreg2; ivreset; overid; ranktest; instrumental variables; weak instruments; GMM; endogeneity; heteroskedasticity; serial correlation; HAC standard errors; LIML; CUE; overidentifying restrictions; Frisch-Waugh-Lovell theorem; RESET; Cumby-Huizinga test
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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.
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