STICERD Econometrics Seminar Series
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
Daniel Lewis (UCL)
Thursday 22 February 2024 14:00 - 15:30
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Unless otherwise specified, in-person seminars are open to the public.
Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.
About this event
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).
STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.
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