Lewis, Daniel J;
Mertens, Karel;
(2022)
A Robust Test for Weak Instruments with Multiple Endogenous Regressors.
Federal Reserve Bank of Dallas: Dallas, TX, USA.
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Abstract
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger (2013) for one endogenous regressor to the general case with multiple endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of instrument strength and provide efficient and easy-to-use Matlab code for its implementation. We demonstrate our testing procedures by considering the estimation of the state-dependent effects of fiscal policy as in Ramey and Zubairy (2018)
| Type: | Working / discussion paper |
|---|---|
| Title: | A Robust Test for Weak Instruments with Multiple Endogenous Regressors |
| DOI: | 10.24149/wp2208 |
| Publisher version: | https://doi.org/10.24149/wp2208 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Instrumental Variables, Weak Instruments Test, Multiple Endogenous Regressors, Heteroskedasticity, Serial Correlation |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10160495 |
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