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MANYWEAKIV: Stata module to implement the weak-identification robust jackknife AR test from Mikusheva and Sun (2022)

Author

Listed:
  • Liyang Sun

    (University College London)

Programming Language

Stata

Abstract

In empirical applications using instrumental variables, the current consensus practice is to report the first stage F statistic and as long as it is above 10, researchers are allowed to rely on standard t-statistics inferences. This practice has foundations in Stock and Yogo (2005) which showed that the concentration parameter fully characterizes the size distortion of the TSLS-Wald test, and empirically the concentration parameter can be judged based on the first stage F statistics. This result has been obtained under the assumptions of homoscedasticity and for a fixed number of instruments. Mikusheva and Sun (2022) introduces a new F test that is valid under heteroscedasticity and many instruments. Based on the result of this new F test (implemented in manyweakpretest), applied researchers can switch between the 5% JIVE t-statistic or 5% jackknife AR test (implemented in manyweakivtest) with the caveats analogous to Stock and Yogo (2005): Namely, the size of the two-step procedure are bounded within 15%.

Suggested Citation

  • Liyang Sun, 2023. "MANYWEAKIV: Stata module to implement the weak-identification robust jackknife AR test from Mikusheva and Sun (2022)," Statistical Software Components S459275, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459275
    Note: This module should be installed from within Stata by typing "ssc install manyweakiv". 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/m/manyweakivtest.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/manyweakivpretest.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/manyweakiv.sthlp
    File Function: help file
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