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WEAKIVTEST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML

Author

Listed:
  • Carolin E. Pflueger

    (University of British Columbia)

  • Su Wang

    (London School of Economics)

Programming Language

Stata

Abstract

weakivtest implements the weak instrument test of Montiel Olea and Pflueger (J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial correlation, and clustering. weakivtest tests the null hypothesis of weak instruments for both Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) with one single endogenous regressor.

Suggested Citation

  • Carolin E. Pflueger & Su Wang, 2013. "WEAKIVTEST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML," Statistical Software Components S457732, Boston College Department of Economics, revised 02 Mar 2024.
    • Handle: RePEc:boc:bocode:s457732
    Note: This module was previously circulated as 'ivrobust'. This module should be installed from within Stata by typing "ssc install weakivtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/w/weakivtest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/w/weakivtest.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/Data_USAQ.dta
    File Function: sample data file
    Download Restriction: no
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