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st: Extended instrumental variables (IV) estimation package


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Extended instrumental variables (IV) estimation package
Date   Tue, 5 Nov 2002 14:36:25 -0000

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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