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. 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.
|Date of creation:||Jan 2009|
|Contact details of provider:|| Postal: 206 Tilton Hall, New Orleans, LA 70118|
Phone: (504) 865-5321
Fax: (504) 865-5869
Web page: http://econ.tulane.edu
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:tul:wpaper:0901. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rodrigo Aranda Balcazar)
If references are entirely missing, you can add them using this form.