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Implementing weak-instrument robust tests for a general class of instrumental-variables models

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  • Keith Finlay

    ()
    (Tulane University)

  • Leandro M. Magnusson

    ()
    (Tulane University)

Abstract

We present a minimum distance approach for conducting hypothesis testing in the presence of potentially weak instruments. Under this approach, we propose size-correct tests for limited dependent variable models with endogenous explanatory variables such as endogenous tobit and probit models. Addition- ally, we extend weak-instrument tests for the linear instrumental-variables model by allowing for variance–covariance estimation that is robust to arbitrary het- eroskedasticity or intracluster dependence. We invert these tests to construct confidence intervals on the coefficient of the endogenous variable. We also provide a postestimation command for Stata, called rivtest, for computing the tests and estimating confidence intervals. Copyright 2009 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 9 (2009)
Issue (Month): 3 (September)
Pages: 398-421

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Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:398-421

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Related research

Keywords: rivtest; ivregress; ivprobit; ivtobit; condivreg; ivreg2; weak instruments; endogenous tobit; endogenous probit; two-stage least squares; hypothesis testing; confidence intervals;

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Cited by:
  1. Schmillen, Achim & Umkehrer, Matthias, 2013. "The scars of youth : effects of early-career unemployment on future unemployment experience," IAB Discussion Paper 201306, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  2. Colin Cameron, 2011. "Robust inference with clustered data," Mexican Stata Users' Group Meetings 2011 07, Stata Users Group.
  3. Reichert, A.;, 2013. "Obesity, Weight Loss, and Employment Prospects: Evidence from a Randomized Trial," Health, Econometrics and Data Group (HEDG) Working Papers 13/20, HEDG, c/o Department of Economics, University of York.
  4. Stephen C. Smith & M. Shahe Emran & Fenohasina Maret, 2009. "Education and Freedom of Choice: Evidence from Arranged Marriages in Vietnam," Working Papers 2009-15, The George Washington University, Institute for International Economic Policy.
  5. Marcella Corsi & Carlo D'Ippoliti, 2013. "The productivity of the public sector: A Classical view," PSL Quarterly Review, Economia civile, vol. 66(267), pages 403-434.
  6. de Brauw, Alan & Mu, Ren, 2012. "Unattended but not undernourished: young children left behind in rural China:," IFPRI discussion papers 1191, International Food Policy Research Institute (IFPRI).
  7. Kerstin Bruckmeier & Jürgen Wiemers, 2010. "A New Targeting - A New Take-Up?: Non-take-up of Social Assistance in Germany after Social Policy Reforms," SOEPpapers on Multidisciplinary Panel Data Research 294, DIW Berlin, The German Socio-Economic Panel (SOEP).
  8. Mu, Ren & de Brauw, Alan, 2013. "Migration and Young Child Nutrition: Evidence from Rural China," IZA Discussion Papers 7466, Institute for the Study of Labor (IZA).
  9. Kwak, Sungil, 2011. "The Impact of Taxes on Charitable Giving: Empirical Evidence from the Korean Labor and Income Panel Study," MPRA Paper 36845, University Library of Munich, Germany.
  10. Melvin Stephens, Jr. & Dou-Yan Yang, 2013. "Compulsory Education and the Benefits of Schooling," NBER Working Papers 19369, National Bureau of Economic Research, Inc.
  11. Victor Stango & Jonathan Zinman, 2013. "Borrowing High vs. Borrowing Higher: Sources and Consequences of Dispersion in Individual Borrowing Costs," NBER Working Papers 19069, National Bureau of Economic Research, Inc.
  12. Adam Gersl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & Jose-Luis Peydro Alcalde, 2012. "Monetary Conditions and Banks' Behaviour in the Czech Republic," Working Papers 2012/02, Czech National Bank, Research Department.
  13. Jason Fletcher, 2012. "Peer influences on adolescent alcohol consumption: evidence using an instrumental variables/fixed effect approach," Journal of Population Economics, Springer, vol. 25(4), pages 1265-1286, October.
  14. Kunieda, Takuma & Shibata, Akihisa, 2011. "Collateral Constraints and Legal Protection of Lenders: A Macroeconomic Perspective," MPRA Paper 35356, University Library of Munich, Germany.

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