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

Keith Finlay and Leandro Magnusson

No 901, Working Papers from Tulane University, Department of Economics

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 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.

Keywords: ivtest; 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)
JEL-codes: C12 C30 C31 C34 C35 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2009-01
References: Add references at CitEc
Citations: View citations in EconPapers (120)

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http://repec.tulane.edu/RePEc/pdf/tul0901.pdf First version, 2009 (application/pdf)

Related works:
Journal Article: Implementing weak-instrument robust tests for a general class of instrumental-variables models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tul:wpaper:0901

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