Hi,
I am using ivreg2 gmm specification with one endogenous regression and multiple instrument and clustered standard errors. If I undersand it correctly, the proper first stage test for weak instruments to use is the Montiel Olea and Pflueger test in this case. Is there a version of this test available for iv-gmm?
Best regards
I am using ivreg2 gmm specification with one endogenous regression and multiple instrument and clustered standard errors. If I undersand it correctly, the proper first stage test for weak instruments to use is the Montiel Olea and Pflueger test in this case. Is there a version of this test available for iv-gmm?
Best regards
