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st: Enhanced routines for instrumental variables/GMM estimation and testing


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Enhanced routines for instrumental variables/GMM estimation and testing
Date   Thu, 6 Sep 2007 11:25:00 -0400

We recently announced the availability of a new version of -ivreg2- with a number of additional features. Those features are fully documented in a working paper, entitled as above, available now at

http://econpapers.repec.org/paper/bocbocoec/667.htm

The abstract:

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

We appreciate your comments on the paper.

Kit Baum, Mark Schaffer, Steven Stillman


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