WEAKIVTEST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML

Carolin Pflueger and Su Wang ()
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Su Wang: London School of Economics

Statistical Software Components from Boston College Department of Economics

Abstract: weakivtest implements the weak instrument test of Montiel Olea and Pflueger (J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial correlation, and clustering. weakivtest tests the null hypothesis of weak instruments for both Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) with one single endogenous regressor.

Language: Stata
Requires: Stata version 10 and avar from SSC (q.v.)
Keywords: weak instruments; 2SLS; TSLS; LIML; non-i.i.d. errors (search for similar items in EconPapers)
Date: 2013-11-09, Revised 2024-03-02
Note: This module was previously circulated as 'ivrobust'. This module should be installed from within Stata by typing "ssc install weakivtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/w/weakivtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/weakivtest.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/Data_USAQ.dta sample data file (application/x-stata)

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