OLS, IV, IV–GMM and DPD Estimation in Stata

Linear regression methodology......Page 2
Regression as a method of moments estimator......Page 5
A macroeconomic example......Page 8
The ANOVA table, ANOVA F and R-squared......Page 11
The coefficient estimates......Page 17
Recovering estimation results......Page 18
Hypothesis testing in regression......Page 20
Joint hypothesis tests......Page 33
Tests of nonlinear hypotheses......Page 36
Computing residuals and predicted values......Page 39
Regression with non-i.i.d. errors......Page 50
Robust standard errors......Page 52
The Newey–West estimator of the VCE......Page 54
Testing for heteroskedasticity......Page 56
Testing for serial correlation in the error distribution......Page 61
Regression with indicator variables......Page 68
One-way ANOVA......Page 69
Using factor variables......Page 70
Interaction effects......Page 72
Computing marginal effects......Page 76
Instrumental variables estimators......Page 84
Endogeneity......Page 87
Choice of instruments......Page 90
Weaknesses of IV......Page 91
IV-GMM......Page 93
Exact identification and 2SLS......Page 95
The IV-GMM approach......Page 96
The GMM weighting matrix......Page 97
IV-GMM and the distribution of u......Page 98
IV-GMM cluster-robust estimates......Page 100
IV-GMM HAC estimates......Page 101
Example of IV and IV-GMM estimation......Page 102
Tests of overidentifying restrictions......Page 106
Testing a subset of overidentifying restrictions......Page 113
Testing for weak instruments......Page 120
The Anderson canonical correlation statistic......Page 126
The Cragg–Donald statistic......Page 127
Dynamic panel data estimators......Page 129
Ex ante forecasting......Page 150