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A Robust Test for Weak Instruments

Olea, José Luis Montiel, Pflueger, Carolin·2013·Journal of Business & Economic Statistics
DOI 10.1080/00401706.2013.806694
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Abstract

We develop a test for weak instruments in linear instrumental variables regression that is robust to heteroscedasticity, autocorrelation, and clustering. Our test statistic is a scaled nonrobust first-stage F statistic. Instruments are considered weak when the two-stage least squares or the limited information maximum likelihood Nagar bias is large relative to a benchmark. We apply our procedures to the estimation of the elasticity of intertemporal substitution, where our test cannot reject the null of weak instruments in a larger number of countries than the test proposed by Stock and Yogo in 2005 Stock, J. and Yogo, M. 2005. “Testing for Weak Instruments In Linear IV Regression,”. In Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, Edited by: W, D., Andrews, ., J, and, H, . and Stock, . 80–108. Cambridge: Cambridge University Press. [Crossref] , [Google Scholar]. Supplementary materials for this article are available online.

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Cites

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Metadata

Authors
Olea, J. L. M., & Pflueger, C.
Venue
Journal of Business & Economic Statistics
Publisher
Informa UK Limited
Published
2013-07
Volume
31
Issue
3
Pages
358-369
ISSN
  • 0735-0015 (ISSN-L)
  • 1537-2707
DOI
10.1080/00401706.2013.806694
OpenAlex
W2147146578
Cited by
1,106
References
2
FWCI
11.47
Type
journal article
Language
en
Open access
closed

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