Implementing weak-instrument robust tests for a general class of instrumental-variables models
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.
Volume (Year): 9 (2009)
Issue (Month): 3 (September)
|Contact details of provider:|| Web page: http://www.stata-journal.com/|
|Order Information:||Web: http://www.stata-journal.com/subscription.html|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2007. "Performance of conditional Wald tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 116-132, July.
When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:398-421. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)or (Lisa Gilmore)
If references are entirely missing, you can add them using this form.