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Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models

  • Keith Finlay

    ()

    (Department of Economics, Tulane University)

  • Leandro M. Magnusson

    ()

    (Department of Economics, Tulane University)

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. Additionally, we extend weak instrument tests for the linear IV model by allowing for variance-covariance estimation that is robust to arbitrary heteroskedasticity 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 ivtest for computing the tests and estimating confidence intervals.

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File URL: http://econ.tulane.edu/RePEc/pdf/tul0901.pdf
File Function: First version, 2009
Download Restriction: no

Paper provided by Tulane University, Department of Economics in its series Working Papers with number 0901.

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Length: 22 pages
Date of creation: Jan 2009
Date of revision:
Handle: RePEc:tul:wpaper:0901
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Web page: http://econ.tulane.edu
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