March 1, 2003Open Access

Instrumental Variables and GMM: Estimation and Testing

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Resumen

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.

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Baum et al. (Sat,) studied this question.

synapsesocial.com/papers/69d6b491a0177bf533ed8a13 https://doi.org/https://doi.org/10.1177/1536867x0300300101

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5Alternative Tests of Independence between Stochastic Regressors and Disturbances1973 · 1,309 citations

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