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Enhanced routines for instrumental variables/GMM estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - Centre for Economic Reform and Transformation, School … - 2007
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.
Persistent link: https://www.econbiz.de/10005292582
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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
Andrews, Donald W.K.; Monahan, Christopher J. - Cowles Foundation for Research in Economics, Yale University - 1990
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix …
Persistent link: https://www.econbiz.de/10005762589
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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1988
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and …
Persistent link: https://www.econbiz.de/10005762692