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  • About understanding the Instrumental Variables' estimation results

    Hi, I have a general question that I'd like to ask for your kind (hopefully quick) help and input. Between the test of endogeneity and tests for weak instrumental variables, which one should we give a priority? I believe the test of endogeneity involves the IVs, so having a weak IV can affect the test of endogeneity results. Hence, can I say test of weak IV should be given a priority? Any suggestions including any extra reading materials are highly appreciated. Thank you very much.

  • #2
    My question could be alternatively rephrased as follows. Should I do ivregress 2sls to test the endogeneity first and then proceed from there or should I do ivregress 2sls to test for weak instruments first and then proceed? Thank you all very much for your help.

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