A robust estimation technique--bounded-influence instrumental variables--is applied to an error-correction model formulation of a U.S. money-demand equation. The weights generated by bounded-influence instrumental variables are used to diagnose structural instability in the specification of the...

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,...