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 robust bias-based test for weak instruments for two-stage least squares (2SLS) with multiple endogenous regressors proposed by Lewis and Mertens (2024, accepted by the Review of Economic Studies). weakivtest2 allows for absolute and relative bias criteria, local-to-zero and local-to-rank-reduction-of-one asymptotics, and testing for either the full vector or individual elements of the 2SLS estimator. The command serves as a post-estimation command for ivreg2, xtivreg2, and ivreghdfe.

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, Revised 2025-07-30
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/d/dataFiscal.dta supplementary data file (application/x-stata)
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