User’s Guide : Basic Single Equation Analysis : Instrumental Variables and GMM
Instrumental Variables and GMM
This section describes EViews tools for estimating a single equation using Two-stage Least Squares (TSLS), Limited Information Maximum Likelihood (LIML) and K-Class Estimation, and Generalized Method of Moments (GMM).
There are countless references for the techniques described in this section. Notable textbook examples include Hayashi (2000), Hamilton (1994), Davidson and MacKinnon (1993). Less technical treatments may be found in Stock and Watson (2007) and Johnston and DiNardo (1997).