A robust test for weak instruments with multiple endogenous regressors in Stata

Abstract

In this article, I introduce a novel command, weakivtest2, that implements the robust bias-based test for weak instruments for two-stage least squares with multiple endogenous regressors proposed by Lewis and Mertens (Forthcoming, Review of Economic Studies, https://doi.org/10.1093/restud/rdaf103). The weakivtest2 command 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 the individual elements of the two-stage least-squares estimator. weakivtest2 is a postestimation command for ivreg2, xtivreg2, and ivreghdfe.

Keywords

st0798 weakivtest2 weak instruments pretesting multiple endogenous regressors heteroskedasticity serial correlation

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