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Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models

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Author Info

  • Keith Finlay

    () (Department of Economics, Tulane University)

  • Leandro M. Magnusson

    () (Department of Economics, 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. Additionally, we extend weak instrument tests for the linear IV model by allowing for variance-covariance estimation that is robust to arbitrary heteroskedasticity 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 ivtest for computing the tests and estimating confidence intervals.

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File URL: http://econ.tulane.edu/RePEc/pdf/tul0901.pdf
File Function: First version, 2009
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Bibliographic Info

Paper provided by Tulane University, Department of Economics in its series Working Papers with number 0901.

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Length: 22 pages
Date of creation: Jan 2009
Date of revision:
Handle: RePEc:tul:wpaper:0901

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Related research

Keywords: ivtest; 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. Kunieda, Takuma & Shibata, Akihisa, 2011. "Collateral Constraints and Legal Protection of Lenders: A Macroeconomic Perspective," MPRA Paper 35356, University Library of Munich, Germany.
  2. Cameron, A. Colin & Miller, Douglas L., 2010. "Robust Inference with Clustered Data," Working Papers 10-7, University of California at Davis, Department of Economics.
  3. 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).
  4. 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.
  5. 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.
  6. 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.
  7. Arndt Reichert, 2012. "Obesity, Weight Loss, and Employment Prospects – Evidence from a Randomized Trial," Ruhr Economic Papers 0381, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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