WEAKIVTEST2: Stata module to compute Robust Test for Weak Instruments with Multiple Endogenous Regressors

Lingyun Zhou ()
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Lingyun Zhou: PBC School of Finance, Tsinghua University

Statistical Software Components from Boston College Department of Economics

Abstract: weakivtest2 implements the weak instrument test with multiple endogenous regressors in Two-Stage Least Squares (Lewis and Mertens, 2022). It is a postestimation command for ivreg2 and xtivreg2 (fixed effect only). weakivtest2 tests the null hypothesis of weak instruments. The test rejects the null hypothesis when the test statistic exceeds a critical value, which depends on the estimator, the significance level, and the desired weak instrument threshold tau. weakivtest2 extends the Stock and Yogo's (2005) test by allowing heteroskedasticity and autocorrelation, and extends Montiel Olea and Pflueger's (2013) test by allowing multiple endogenous regressors.

Language: Stata
Requires: Stata version 17 and ivreg2, xtivreg2, avar from SSC (q.v.)
Keywords: instrumental variables; weak instruments; heteroskedasticity; autocorrelation; Lewis; Mertens; Stock; Yoo; Olea; Pflueger (search for similar items in EconPapers)
Date: 2024-03-29
Note: This module should be installed from within Stata by typing "ssc install weakivtest2". 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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http://fmwww.bc.edu/repec/bocode/w/weakivtest2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/weakivtest2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/weakivtest2_demo.do program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/weakivtest2.dta supplementary data file (application/x-stata)

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