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st: Enhanced routines for instrumental variables/GMM estimation and testing
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From |
Kit Baum <[email protected]> |
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To |
[email protected] |
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Subject |
st: Enhanced routines for instrumental variables/GMM estimation and testing |
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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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