Hi,
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.
Alice.
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