st: IVROBUST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML

["Carolin Pflueger" <pflueger.carolin@gmail.com>]

A new package -ivrobust- is now available from SSC.  Many thanks to Kit Baum
for making it available on the SSC archive. 

 

-ivrobust- implements the weak instrument test of Montiel Olea and Pflueger
(J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial
correlation, and clustering. ivrobust 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 -ivrobust- with
examples: Montiel Olea, J. L., C. E. Pflueger, and Su Wang, ``A robust test
for weak instruments in Stata'', available on SSRN.

 

Carolin Pflueger

--

Carolin Pflueger

Department of Finance

Sauder School of Business 

University of British Columbia

2053 Main Mall

Vancouver, BC

V6T 1Z2, Canada

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