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st: Weak instruments

From   Alice <>
Subject   st: Weak instruments
Date   Sun, 26 Apr 2009 12:28:41 +0000 (GMT)


I want to test for weak instruments and I know that the Stock and Yogo methodology can be used with ivreg2. The problem is that I am regressing a growth regression where the endogenous variable to be instrumented on the RHS is included with 12 lags, and the Stock and Yogo test can only be obtained for a maximum of 2 endogenous regressors.

Is there a way I can test for weak instruments for my regressor that is included with 12 lags?

Many thanks.



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