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WEAKIV: Stata module to perform weak-instrument-robust tests and confidence intervals for instrumental-variable (IV) estimation of linear, probit and tobit models

Author

Listed:
  • Keith Finlay

    (Tulane University)

  • Leandro Magnusson

    (University of Western Australia)

  • Mark E Schaffer

    (Heriot-Watt University)

Programming Language

Stata

Abstract

weakiv calculates weak-instrument-robust tests of the coefficients on the endogenous regressors in instrumental variables (IV) estimation of models with any number of endogenous regressors. weakiv supports estimation of linear IV models by ivregress, ivreg2 and ivreg2h, panel data linear IV estimation (fixed effects and first differences) by xtivreg and xtivreg2, dynamic panel data estimation by xtabond2, and estimation of probit and tobit IV models by ivprobit and ivtobit. In an exactly-identified model with one instrument, weakiv reports the Anderson-Rubin (AR) test statistic. When the IV model is overidentified, weakiv also conducts the conditional likelihood ratio (CLR) test, the Lagrange multiplier K test, the J overidentification test, and a combination of the K and overidentification tests (the K-J test). Minimum Distance/Wald and LM versions of the tests are both supported. weakiv also provides graphing facilities for visual examination and presentation of rejection probabilities and confidence sets based on these tests. For individual endogenous regressors, weakiv will report confidence intervals and graph rejection probabilities that are robust to weak identification. For 2 endogenous regressors, weakiv constructs confidence sets and reports these using 2-D contour plots and 3-D surface plots. For linear IV and panel data model models, weakiv supports all the variance-covariance estimators supported by ivregress, ivreg2 and xtabond2 (robust, cluster-robust, HAC, 2-way clustering, Kiefer and Driscoll-Kraay SEs, etc.). weakiv builds on and extends the command rivtest by Finlay and Magnusson (Stata Journal 9(3), 2009). weakiv requires Stata 11 or above. Users with Stata 10 are recommended to install weakiv10, an older version of weakiv suitable for Stata 10 without many of the extensions available in weakiv.

Suggested Citation

  • Keith Finlay & Leandro Magnusson & Mark E Schaffer, 2013. "WEAKIV: Stata module to perform weak-instrument-robust tests and confidence intervals for instrumental-variable (IV) estimation of linear, probit and tobit models," Statistical Software Components S457684, Boston College Department of Economics, revised 18 Oct 2016.
  • Handle: RePEc:boc:bocode:s457684
    Note: This module should be installed from within Stata by typing "ssc install weakiv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/w/weakiv.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/w/weakiv.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_weakiv_2.4.05.do
    File Function: help file
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    Citations

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    Cited by:

    1. Ricardo Correa & Horacio Sapriza & Andrei Zlate, 2012. "Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign crisis," International Finance Discussion Papers 1059, Board of Governors of the Federal Reserve System (U.S.).
    2. Herber, Stefanie P. & Kalinowski, Michael, 2016. "Non-take-up of student financial aid: A microsimulation for Germany," BERG Working Paper Series 109, Bamberg University, Bamberg Economic Research Group.
    3. David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2019. "Fast and wild: Bootstrap inference in Stata using boottest," Stata Journal, StataCorp LP, vol. 19(1), pages 4-60, March.
    4. Edwards, Jeremy, 2017. "Did Protestantism promote economic prosperity via higher human capital?," MPRA Paper 82346, University Library of Munich, Germany.
    5. Stefanie P. Herber & Michael Kalinowski, 2016. "Non-Take-Up of Student Financial Aid: A Microsimulation for Germany," SOEPpapers on Multidisciplinary Panel Data Research 844, DIW Berlin, The German Socio-Economic Panel (SOEP).
    6. Edwards, Jeremy, 2018. "A replication of "Education and catch-up in the industrial revolution" (American Economic Journal: Macroeconomics, 2011)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-33.
    7. Fiorini, Luciana C. & Jetter, Michael & Parmeter, Christopher F. & Parsons, Christopher, 2020. "The Effect of Community Size on Electoral Preferences: Evidence From Post-WWII Southern Germany," IZA Discussion Papers 13724, Institute of Labor Economics (IZA).
    8. Björn Nilsson, 2017. "Parental depressive symptoms and the child labor-schooling nexus: evidence from Mexico," Working Papers DT/2017/06, DIAL (Développement, Institutions et Mondialisation).
    9. Luke Chicoine, 2021. "Free Primary Education, Fertility, and Women’s Access to the Labor Market: Evidence from Ethiopia," The World Bank Economic Review, World Bank, vol. 35(2), pages 480-498.
    10. Herber, Stefanie P. & Kalinowski, Michael, 2016. "Non-take-up of Student Financial Aid: A Microsimulation for Germany," VfS Annual Conference 2016 (Augsburg): Demographic Change 145727, Verein für Socialpolitik / German Economic Association.
    11. Michael A. Goldstein & Edith S. Hotchkiss & David J. Pedersen, 2019. "Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds," JRFM, MDPI, vol. 12(2), pages 1-17, May.
    12. Luis Aranda & Martin Siyaranamual, 2014. "Are Smarter People Better Samaritans? Effect of Cognitive Abilities on Pro-Social Behaviors," Working Papers 2014:06, Department of Economics, University of Venice "Ca' Foscari".
    13. Wei Fan & Catherine Porter, 2020. "Reinforcement or compensation? Parental responses to children’s revealed human capital levels," Journal of Population Economics, Springer;European Society for Population Economics, vol. 33(1), pages 233-270, January.
    14. Ehrl, Philipp & Monteiro Monasterio, Leonardo, 2016. "Historical trades, skills and agglomeration economies," MPRA Paper 69829, University Library of Munich, Germany.
    15. Ahrens Achim, 2015. "Civil Conflicts, Economic Shocks and Night-time Lights," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 21(4), pages 433-444, December.
    16. Jetter, Michael, 2017. "Terrorism and the Media: The Effect of US Television Coverage on Al-Qaeda Attacks," IZA Discussion Papers 10708, Institute of Labor Economics (IZA).

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