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Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506
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 …
Persistent link: https://www.econbiz.de/10005568801
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Enhanced routines for instrumental variables/GMM estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007
that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …
Persistent link: https://www.econbiz.de/10005027835
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Instrumental variables and GMM: Estimation and testing
Baum, Christopher; Schaffer, Mark E.; Stillman, Steven - Department of Economics, Boston College - 2002
-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described. …
Persistent link: https://www.econbiz.de/10005074035
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Instrumental variable estimation of a nonlinear Taylor rule
Koustas, Zisimos; Lamarche, Jean-Francois - Department of Economics, Brock University - 2009
This paper studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We apply this methodology to a forward-looking...
Persistent link: https://www.econbiz.de/10008597182
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Enhanced routines for instrumental variables/GMM estimation and testing
Baum, Christopher F.; Schaffer, Mark E.; Stillman, Steven - 2008
Persistent link: https://www.econbiz.de/10003837731
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - In: Quantitative economics : QE ; journal of the … 3 (2012) 2, pp. 211-255
allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …. We find that the estimator is asymptotically as efficient as the limited-information maximum likelihood (LIML) estimator …
Persistent link: https://www.econbiz.de/10011756822
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....
Persistent link: https://www.econbiz.de/10011379149
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Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments
Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001
In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...
Persistent link: https://www.econbiz.de/10005345583
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A Robust Approach to Heteroskedasticity, Error Serial Correlation and Slope Heterogeneity for Large Linear Panel Data Models with Interactive Effects
Cui, Guowei - 2019
In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …
Persistent link: https://www.econbiz.de/10012898755
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201