A new package -weakivtest- is now available from SSC. This package replaces the package ivrobust. Many thanks to Kit Baum for making it available on the SSC archive.
weakivtest implements the weak instrument test of Montiel Olea and Pflueger (J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial correlation, and clustering. weakivtest tests the null hypothesis of weak instruments for both Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) with one single endogenous regressor.
The following paper provides a detailed description of weakivtest with examples: Pflueger, C.E. and Su Wang, ``A robust test for weak instruments in Stata'', available on SSRN.
This module should be installed from within Stata by typing "ssc install weakivtest".
Carolin Pflueger
--
Carolin Pflueger
Department of Finance
Sauder School of Business
University of British Columbia
2053 Main Mall
Vancouver, BC
V6T 1Z2, Canada
weakivtest implements the weak instrument test of Montiel Olea and Pflueger (J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial correlation, and clustering. weakivtest tests the null hypothesis of weak instruments for both Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) with one single endogenous regressor.
The following paper provides a detailed description of weakivtest with examples: Pflueger, C.E. and Su Wang, ``A robust test for weak instruments in Stata'', available on SSRN.
This module should be installed from within Stata by typing "ssc install weakivtest".
Carolin Pflueger
--
Carolin Pflueger
Department of Finance
Sauder School of Business
University of British Columbia
2053 Main Mall
Vancouver, BC
V6T 1Z2, Canada
