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)
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- 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.
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