Implementing weak-instrument robust tests for a general class of instrumental-variables models

Keith Finlay and Leandro Magnusson

Stata Journal, 2009, vol. 9, issue 3, 398-421

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. Addition- ally, we extend weak-instrument tests for the linear instrumental-variables model by allowing for variance–covariance estimation that is robust to arbitrary het- eroskedasticity 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. Copyright 2009 by StataCorp LP.

Keywords: rivtest; ivregress; ivprobit; ivtobit; condivreg; ivreg2; weak instruments; endogenous tobit; endogenous probit; two-stage least squares; hypothesis testing; confidence intervals (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (122)

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