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Christopher F Baum1
Faculty Micro Resource Center
Boston College
March 2007
1
Thanks to Austin Nichols for the use of his material on weak instruments and Mark Schaffer for helpful comments.
The standard disclaimer applies.
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Introduction
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Introduction
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Introduction
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Introduction
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Introduction
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Introduction
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Introduction
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Introduction
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Introduction
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N
1
1X
zi (yi xi ) = Z 0 u
N
N
i=1
(GMM ) = 0.
The GMM approach chooses an estimate that solves g
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j0 u
j
S=
u
j=1
where
0 Z (Z 0 Z )1 zj
j = (yj xj )X
u
The IV-GMM estimates employing this estimate of S will be both robust
to arbitrary heteroskedasticity and intra-cluster correlation, equivalent
to estimates generated by Statas cluster(varname) option. For an
overidentified equation, IV-GMM cluster-robust estimates will be more
efficient than 2SLS estimates.
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Implementation in Stata
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Implementation in Stata
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ivreg2 options
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