Business, Management and Accounting
4 years ago

Instrumental Variables Techniques Revolutionize Economics and Finance Research

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Using instrumental variables techniques in economics and finance
Christopher F. Baum

Paper Summary

Instrumental variables techniques are useful in economics and finance to solve problems like endogeneity and measurement error. Diagnostic techniques are important to validate their use. The Generalized Method of Moments form of IV and the Continuously Updated Estimator are advantageous. Newly developed code in Stata's Mata programming language efficiently implements the GMM-CUE.

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