文章基本信息

标题：Instrumental variables and GMM: Estimation and testing
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作者：Baum, Christopher F. ; Schaffer, Mark E. ; Stillman, Steven 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2002
期号：SUPPL
页码：1-31
出版社：Food Distribution Research Society
摘要：We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.
关键词：instrumental variables;generalized method of moments;endogeneity;heteroskedasticity;overidentifying restrictions;clustering;intra-group correlation