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

Keith Finlay and Leandro Maschietto Magnusson ()

Stata Journal, 2009, vol. 9, issue 3, pages 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

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0171 link to article purchase
http://www.stata-journal.com/software/sj9-3/st0171/ (text/html)

Related works:
Working Paper: Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:tsj:stataj:v:9:y:2009:i:3:p:398-421

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is edited by H. Joseph Newton and Nicholas J. Cox

More articles in Stata Journal from StataCorp LP
Series data maintained by Christopher F. Baum ().