[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
I am using instrumental variables and have a weak instrument,
to the F-test. I only have one endogenous variable and my sample is
large. I wonder if there are better statistics to investigate if an
instrument is weak (perhaps the Hahn and Hausman test testing the null
hypothesis that the instrument is strong), and if stata supports these
statistics. I also would like to ask if stata contains any routine that
would provide estimates robust to weak instruments.
Diagnosis of instruments' weakness is complicated when there are
multiple endogenous regressors. When there is only one, it is simple:
if the single first-stage regression fits poorly, you have weak
instruments, and the IV estimates will suffer. We have recently added
diagnostics by Stock and Yogo for the weak instruments case. In the
presence of weak instruments, the bias of the IV estimates cause them
to approach the (inconsistent) OLS estimates.
There is no such thing as 'estimates robust to weak instruments'. You
are using instruments to generate consistent estimate of the
equation, and if the instruments are only weakly correlated to the
endogenous variable, your results will be poor. The way to render
them robust is to get better instruments.
Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:
* For searches and help try: