A robust test for weak instruments with multiple endogenous regressors in Stata

In this article, I introduce a novel command, weakivtest2, that imple- ments the robust bias-based test for weak instruments for two-stage least squares with multiple endogenous regressors proposed by Lewis and Mertens (Forthcom- ing, Review of Economic Studies, https: // doi.org / 10.1093 / restud / rdaf103). The weakivtest2 command allows for absolute and relative bias criteria, local- to-zero and local-to-rank-reduction-of-one asymptotics, and testing for either the full vector or the individual elements of the two-stage least-squares estimator. weakivtest2 is a postestimation command for ivreg2, xtivreg2, and ivreghdfe.