Thanks to Kit Baum (in more ways than one), an extended instrumental
variables (IV) estimation package is now available.
The components of the package:
1. ivreg2 Extended ivreg, including facilities for GMM
(generalized method of moments) and tests
of exogeneity conditions.
Authors: Kit Baum, Mark Schaffer, Steve Stillman
2. ivhettest Heteroskedasticity tests for IV estimation.
Author: Mark Schaffer
3. overid Overidentification tests for IV estimation.
Authors: Kit Baum, Mark Schaffer, Steve Stillman,
Vince Wiggins
4. ivendog Tests for endogenity of IV regressors (replaces dmexog).
Authors: Kit Baum, Mark Schaffer, Steve Stillman
All of the above can be downloaded from ssc-ideas in the usual way.
Users may also be interested in Baum, Schaffer, Stillman,
"Instrumental variables and GMM: Estimation and Testing", Boston
College Dept. of Economics Working Paper, available at:
http://fmwww.bc.edu/ec-p/WP545.pdf
The paper discusses IV estimation in the framework of the generalized
method of moments and describes the above estimation commands in this
context.
A .do file with examples of the four commands can be found at
http://fmwww.bc.edu/ec-p/baum/cert/IVandGMM.do
Happy instrumenting!
--Mark, Kit and Steve
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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