Testing for Weak Instruments in Linear IV Reg...
Motohiro Yogo, James H. Stock,...
Testing for Weak Instruments in Linear IV Regression by Motohiro Yogo, James H. Stock, National Bureau of Economic Research, Motohiro Yogo, James H. Stock, National Bureau of Economic Research
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Testing for Weak Instruments in Linear IV Regression

Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the maximum Wald test size distortion, when there are multiple endogenous regressors. We tabulate critical values that enable using the first-stage F-statistic (or, when there are multiple endogenous regressors, the Cragg-Donald (1993) statistic) to test whether given instruments are weak. A technical contribution is to justify sequential asymptotic approximations for IV statistics with many weak instruments.

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English
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Cover of: Testing for Weak Instruments in Linear IV Regression
Testing for Weak Instruments in Linear IV Regression
2002, National Bureau of Economic Research
electronic resource in English

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November 2002.

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Mode of access: World Wide Web.

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Cambridge, Mass
Series
NBER technical working paper series -- no. t0284, Technical Working Paper Series (National Bureau of Economic Research) -- no. t0284

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[electronic resource]

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OL62729397M

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OL46195366W

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