Instrumental Variables and GMM: Estimation and Testing

By Christopher F. Baum, Mark E. Schaffer, S. Stillman. 2003

2,771 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/66929d846a581924d7884bb09ebc1716b144b40e

How researchers see this paper

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In Economics and Econometrics

1. Ilhan Ozturk
2. Muhammad Shahbaz
3. Sakiru Adebola Solarin
4. Usama Al-mulali
5. Holger Görg
6. A. Acheampong
7. R. Kneller
8. Ayhan Kose

In Finance

1. Ayhan Kose
2. Eswar S. Prasad
3. Marco E. Terrones
4. Erasmo Giambona
5. Stan Xiao Li
6. Sundar G. Bharadwaj
7. Murillo Campello
8. Ioannis Ioannou

In Statistics and Probability

1. George Davey Smith
2. Stephen Burgess
3. S. Thompson
4. J. Bowden
5. Dylan S. Small
6. Nuala Sheehan
7. Adam S. Butterworth
8. R. Harbord

Citations in the corpus

• Investing Back Home: Return Migration and Business Ownership in Albania (2007, neutral): “In this respect, the use of the Shea Partial R2, which account for the inter-correlations among the instruments, is instead recommended (Baum et al, 2003).”
• Valuating the effects of beach erosion to tourism revenue. A management perspective (2015, methodology): “The instruments' strength is expressed by the F-test for joint significance of all instruments in the first stage regression (Baum et al., 2003).”
• Real Assets and Capital Structure (2013, positive): “Baum, Schaffer, and Stillman (2003) recommend as a rule of thumb that if the Shea’s partial R2 and the simple partial R2 are of similar magnitude, then one can infer that instruments used in the identification have adequate explanatory power.”
• Mendelian randomization: Using genes as instruments for making causal inferences in epidemiology (2008, positive): “In addition to this main analysis, we also checked results comparing the OLS estimate of the effect of CRP on HOMA-score with the IV estimate (using CRP haplotypes as the IV) using the Hansen J statistics (LIML) and the Anderson–Rubin statistics (GMM).”
• Is it Pleasure or Health from Leisure that We Benefit from Most? An Analysis of Well-Being Alternatives and Implications for Policy (2016, background): “This requires identifying relevant and valid instruments (Baum et al., 2003).”
• The Great Shift: Macroeconomic Projections for the World Economy at the 2050 Horizon (2012, positive): “In order to select our specification, we follow the methodology and tests proposed by Baum et al. (2003).”
• Avoiding bias from weak instruments in Mendelian randomization studies. (2011, methodology): “Here, we assume homogeneity of variances across studies; we can use generalized method of moments ( GMM) 16 or Bayesian methods”