Two-sample instrumental-variables regression with potentially weak instruments

被引：5

作者：

Choi, Jaerim ^{[1
]}

Shen, Shu ^{[2
]}

机构：

[1] Univ Hawaii Manoa, Dept Econ, Honolulu, HI 96822 USA

[2] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA

来源：

STATA JOURNAL | 2019年 / 19卷 / 03期

关键词：

st0568; weaktsiv; two-sample two-stage least squares; weak IV; inference; ROBUST INFERENCE; IV REGRESSION; TESTS; MOBILITY; MODELS;

D O I：

10.1177/1536867X19874235

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

We develop a command, weaktsiv, for two-sample instrumentalvariables regression models with one endogenous regressor and potentially weak instruments. weaktsiv includes the classic two-sample two-stage least-squares estimator whose inference is valid only under the assumption of strong instruments. It also includes statistical tests and confidence sets with correct size and coverage probabilities even when the instruments are weak.

引用

页码：581 / 597

页数：17

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