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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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Christopher F. Baum
Mark E. Schaffer
Steven Stillman
The Stata Journal Promoting communications on statistics and Stata
Boston College
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Baum et al. (Sat,) studied this question.
www.synapsesocial.com/papers/69d6b491a0177bf533ed8a13 — DOI: https://doi.org/10.1177/1536867x0300300101