期刊名称：CERT Discussion Paper / Center for Economic Reform and Transformation
出版年度：2007
卷号：2007
出版社：Edinburgh
摘要：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
关键词：instrumental variables, weak instruments, generalized
method of moments, endogeneity, heteroskedasticity, serial correlation, HAC
standard errors, LIML, CUE, overidentifying restrictions, Frisch-Waugh-Lovell
theorem, RESET, Cumby-Huizinga test
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