Two-sample instrumental-variables regression with potentially weak instruments

Jaerim Choi () and Shu Shen ()
Additional contact information
Shu Shen: University of California, Davis

Stata Journal, 2019, vol. 19, issue 3, 581-597

Abstract: We develop a command, weaktsiv, for two-sample instrumental- variables regression models with one endogenous regressor and potentially weak instruments. weaktsiv includes the classic two-sample two-stage least-squares es- timator whose inference is valid only under the assumption of strong instruments. It also includes statistical tests and confidence sets with correct size and coverage probabilities even when the instruments are weak.

Keywords: weaktsiv; two-sample two-stage least squares; weak IV; inference (search for similar items in EconPapers)
Date: 2019
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj19-3/st0568/
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0568 link to article purchase

Related works:
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: https://EconPapers.repec.org/RePEc:tsj:stataj:v:19:y:2019:i:3:p:581-597

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

DOI: 10.1177/1536867X19874235

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().