Linear Model Estimation

Note

Stable documentation for the latest release is located at doc. Documentation for recent developments is located at devel.

Estimation and inference in some common linear models:

Panel Data Models

Single equation Instrumental Variables (IV) models

  • Two-stage least squares (2SLS, IV2SLS)
  • Limited Information ML (LIML, IVLIML)
  • Generalized Method of Moments (GMM, IVGMM)
  • Continuously Updating GMM (CUE-GMM, IVGMMCUE)

System Regression Estimators

  • Seemingly Unrelated Regression (SUR, SUR)
  • Three-stage Least Squares (3SLS, IV3SLS)
  • Generalized Method of Moments System Estimator (GMM, IVSystemGMM)

Asset Pricing Model Estimation and Testing

Indices and tables