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

[DE SOUZA Eric <eric.de_souza@coleurope.eu>]

This is what I get when testing the package:


. use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
(Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976)

. ivrobust lw s expr tenure (iq = med kww)
(0 observations deleted)
           cpatnaikgen():  3301  subscript invalid
                 <istmt>:     -  function returned error
r(3301);

. ivrobust lw s expr tenure (iq = kww)
(0 observations deleted)

Montiel-Pflueger robust weak instrument test
--------------------------------------------------------------
Effective F statistic:    26.084
Confidence level alpha:        5%
--------------------------------------------------------------

--------------------------------------------------------------
Critical Values             TSLS      LIML
--------------------------------------------------------------
% of Worst Case Bias
tau=5%                    37.418      37.418
tau=10%                   23.109     23.109
tau=20%                   15.062     15.062
tau=30%                   12.039     12.039
--------------------------------------------------------------

. ivrobust lw s expr tenure (iq = med)
(0 observations deleted)

Montiel-Pflueger robust weak instrument test
--------------------------------------------------------------
Effective F statistic:     8.751
Confidence level alpha:        5%
--------------------------------------------------------------

--------------------------------------------------------------
Critical Values             TSLS      LIML
--------------------------------------------------------------
% of Worst Case Bias
tau=5%                    37.418      37.418
tau=10%                   23.109     23.109
tau=20%                   15.062     15.062
tau=30%                   12.039     12.039
--------------------------------------------------------------


Eric de Souza 
College of Europe 
Brugge (Bruges), Belgium 
http://www.coleurope.eu


From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Carolin Pflueger
Sent: 11 November 2013 22:09
To: statalist@hsphsun2.harvard.edu
Subject: st: IVROBUST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML

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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