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WEAKIV10: Stata module to perform weak-instrument-robust tests and confidence intervals for instrumental-variable (IV) estimation of linear, probit and tobit models

Keith Finlay, Leandro Magnusson and Mark Schaffer

Statistical Software Components from Boston College Department of Economics

Abstract: weakiv10 calculates weak-instrument-robust tests of the coefficients on the endogenous regressors in instrumental variables (IV) estimation of models with up to 2 endogenous regressors. weakiv10 supports estimation of linear IV models by ivregress, ivreg2 and ivreg2h, panel data linear IV estimation (fixed effects and first differences) by xtivreg and xtivreg2, and estimation of probit and tobit IV models by ivprobit and ivtobit. In an exactly-identified model with one instrument, weakiv10 reports the Anderson-Rubin (AR) test statistic. When the IV model is overidentified, weakiv10 also conducts the conditional likelihood ratio (CLR) test, the Lagrange multiplier K test, the J overidentification test, and a combination of the K and overidentification tests (the K-J test). Minimum Distance/Wald and LM versions of the tests are both supported. weakiv10 also provides graphing facilities for visual examination and presentation of rejection probabilities and confidence sets based on these tests. For models with 1 endogenous regressor, weakiv10 reports confidence intervals that are robust to weak identification. For models with 2 endogenous regressors, weakiv10 constructs confidence sets and reports these using 2-D contour plots and 3-D surface plots. For linear IV models, weakiv10 supports all the variance-covariance estimators supported by ivregress or ivreg2 (robust, cluster-robust, HAC, 2-way clustering, Kiefer and Driscoll-Kraay SEs, etc.). weakiv10 builds on and extends the command rivtest by Finlay and Magnusson (Stata Journal 9(3), 2009). weakiv10 is an older version of weakiv suitable for Stata 10 without many of the extensions available in the latter. Users with Stata 11 or later are recommended to install and use weakiv.

Language: Stata
Requires: Stata version 10 and avar from SSC (q.v.)
Keywords: instrumental variables; weak identification; IV probit; IV tobit; panel data; hypothesis testing; confidence intervals; Anderson-Rubin; CLR; robust estimation; orthogonality; GMM; HAC; cluster; rivtest; condivreg; ivreg2; xtabond2 (search for similar items in EconPapers)
Date: 2014-09-16
Note: This module should be installed from within Stata by typing "ssc install weakiv". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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