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On the Stock–Yogo Tables

Author

Listed:
  • Christopher L. Skeels

    () (Department of Economics, The University of Melbourne, Parkville, 3010, Australia)

  • Frank Windmeijer

    () (Department of Economics and IEU, University of Bristol, Bristol, BS8 1TU, UK)

Abstract

A standard test for weak instruments compares the first-stage F -statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of p -values for the first-stage F -statistic weak instruments test.

Suggested Citation

  • Christopher L. Skeels & Frank Windmeijer, 2018. "On the Stock–Yogo Tables," Econometrics, MDPI, Open Access Journal, vol. 6(4), pages 1-23, November.
  • Handle: RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573
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    References listed on IDEAS

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    1. repec:eee:pubeco:v:159:y:2018:i:c:p:33-53 is not listed on IDEAS
    2. Christopher L. Skeels & Frank Windmeijer, 2018. "On the Stock–Yogo Tables," Econometrics, MDPI, Open Access Journal, vol. 6(4), pages 1-23, November.
    3. Felfe, Christina & Lalive, Rafael, 2018. "Does Early Child Care Affect Children's Development?," CEPR Discussion Papers 12675, C.E.P.R. Discussion Papers.

    More about this item

    Keywords

    weak instruments; hypothesis testing; Stock–Yogo tables; hypergeometric functions; quadratic forms; p -values;

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C - Mathematical and Quantitative Methods
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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