文章基本信息

标题：Enhanced routines for instrumental variables/generalized method of moments 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：2007
期号：SUPPL
页码：465-506
出版社：Food Distribution Research Society
摘要：We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class estimation, tests for endogeneity and Ramsey’s regression specification-error test, and autocorrelation tests for instrumental variable estimates and panel-data instrumental variable estimates.
关键词：ivactest;ivendog;ivhettest;ivreg2;ivreset;overid;ranktest;instrumental variables;weak instruments;GMM;endogeneity;heteroskedasticity;serial correlation;HAC standard errors;LIML;CUE;overidentifying restrictions;Frisch–Waugh–Lovell theorem;RESET;Cumby–Huizinga test