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GWEAKIVTEST: Stata module providing robust test for weak instruments for 2SLS with multiple endogenous regressors

Author

Listed:
  • Daniel J. Lewis

    (University College London)

  • Karel Mertens

    (Federal Reserve Bank of Dallas)

  • Jonathan Shaw

    (Institute for Fiscal Studies)

Programming Language

Abstract

gweakivtest implements the robust weak instruments test of Lewis and Mertens (2025). It is a postestimation command for ivreg2 and ivregress. gweakivtest tests the null hypothesis of weak instruments for two-stage least squares (2SLS) models with multiple endogenous regressors, generalizing existing bias-based tests for instrument strength in 2SLS models. Specifically, it (1) generalizes the bias-based tests for weak instrument of Stock and Yogo (2005) (developed under uniformly weak instruments) and Sanderson and Windmeijer (2016) (developed under a rank-deficient first-stage) to be robust to heteroskedasticity, autocorrelation and clustering (indeed, any form of covariance matrix), and (2) extends the Montiel Olea and Pflueger (2013) robust test for models with a single endogenous regressor (as implemented in weakivtest) to multiple endogenous regressors. Like that of Montiel Olea and Pflueger (2013), the test is based on a Nagar (1959) approximation of the bias of the 2SLS estimator.

Suggested Citation

  • Daniel J. Lewis & Karel Mertens & Jonathan Shaw, 2026. "GWEAKIVTEST: Stata module providing robust test for weak instruments for 2SLS with multiple endogenous regressors," Statistical Software Components S459610, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459610
    Note: This module should be installed from within Stata by typing "ssc install gweakivtest". 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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