Implementing weak-instrument robust tests for a general class of instrumental-variables models
Abstract. 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 instrumental-variables 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 rivtest, for computing the tests and
estimating confidence intervals.
View all articles by these authors:
Keith Finlay, Leandro M. Magnusson
View all articles with these keywords:
rivtest, ivregress, ivprobit, ivtobit, condivreg, ivreg2, weak instruments, endogenous tobit, endogenous probit, two-stage least squares, hypothesis testing, confidence intervals
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